The immune system is better thought of as being good if it's balanced rather than strong.There's also still a lot we don't know about what makes the immune system stay in balance and react in the best way possible for the organism, but generally maintaning optimal health and homeostasis in the organism is probably the best answer.

So yeah, like you said we know being sedentary, being overweight, having a poor gut microbiome, poor sleep, drug/alcohol intake etc lead to poor health and also an unbalanced and poorer immune system. As most of us know now being obese was one of the most significant risk factors for Covid 19 mortality for example.

We also know that woman of fertile age have a more active immune system as they have to interact with and protect a fetus, meaning they might get sick less often but they also as a group suffer more auto-immune disease as a side effect.

TLDR: Good health and balance in the organism -> optimally balanced immune system.