Previous studies have shown beneficial effects of physical exercise (PE) in adults submitted to hematopoietic stem cell transplantation (HSCT). Conduct a systematic review about the effects of PE on the functional capacity of children and adolescents submitted to HSCT. The studies were searched in the databases MEDLINE (via PubMed), Central Register of Controlled Trials (Cochrane CENTRAL), EMBASE, LILACS, and Evidence Database in Physical Therapy (PEDro) (CRD42018080093). Two independent reviewers performed the article selection, data extraction, and methodological quality assessment. Randomized and nonrandomized clinical trials comparing PE with usual treatment in children and adolescents aged 3-18 years were included. The risk of bias was assessed using the Cochrane Collaboration tool and ROBINS-I tool, and the overall quality of the evidence was determined by the GRADE system. We included three studies with 91 patients. PE improved the functional capacity assessed by the timed up and down stairs test (MD -1.23 [95% CI, 2.27 to -.20, I2 = 0%]), but there was no significant effect in the six-minute walk test (MD 44.63 [95% CI, -20.86 to 110.13, I2 = 83%]). The benefits regarding quality of life and peripheral muscle strength of these individuals were not clearly demonstrated, but positive responses were observed in relation to the analyzed data. None of the studies evaluated the fatigue. The limitations found were the high heterogeneity between studies, as well as the sample size and the low methodological rigor. PE might be favorable to improve the functional capacity of children and adolescents treated with HSCT. However, further studies are needed to clarify the best PE program.