Objectives To determine the effects of exercise on fatigue and sleep quality in fibromyalgia (primary aim) and to identify which type of exercise is the most effective in achieving these outcomes (secondary aim). Data Sources PubMed and Web of Science were searched from inception until October 18, 2018. Study Selection Eligible studies contained information on population (fibromyalgia), intervention (exercise), and outcomes (fatigue or sleep). Randomized controlled trials (RCT) testing the effectiveness of exercise compared with usual care and randomized trials (RT) comparing the effectiveness of 2 different exercise interventions were included for the primary and secondary aims of the present review, respectively. Two independent researchers performed the search, screening, and final eligibility of the articles. Of 696 studies identified, 17 RCTs (n=1003) were included for fatigue and 12 RCTs (n=731) for sleep. Furthermore, 21 RTs compared the effectiveness of different exercise interventions (n=1254). Data Extraction Two independent researchers extracted the key information from each eligible study. Data Synthesis Separate random-effect meta-analyses were performed to examine the effects from RCTs and from RTs (primary and secondary aims). Standardized mean differences (SMD) effect sizes were calculated using Hedges’ adjusted g. Effect sizes of 0.2, 0.4, and 0.8 were considered small, moderate, and large. Compared with usual care, exercise had moderate effects on fatigue and a small effect on sleep quality (SMD, –0.47; 95% confidence interval [CI], –0.67 to –0.27; P<.001 and SMD, –0.17; 95% CI, –0.32 to –0.01; P=.04). RTs in which fatigue was the primary outcome were the most beneficial for lowering fatigue. Additionally, meditative exercise programs were the most effective for improving sleep quality. Conclusions Exercise is moderately effective for lowering fatigue and has small effects on enhancing sleep quality in fibromyalgia. Meditative exercise programs may be considered for improving sleep quality in fibromyalgia.