Introduction Percutaneous coronary intervention (PCI) and exercise-based cardiac rehabilitation are cornerstones of treatment for coronary heart disease (CHD). Previous research indicates that exercise alone might be more effective than PCI. This systematic review aims to investigate the effectiveness of exercise training or PCI alone compared to the combination of both for the secondary prevention of CHD. Materials and methods A structured database search identified eligible publications. Relevant studies, published between 1992 and 2009, that report mortality, cardiac events, restenosis or quality of life were included. Methodological quality was evaluated by two reviewers using standardised checklists. Results Of 1282 studies identified, six met the inclusion criteria, five RCTs and one cohort study. Quality and outcome reporting of the studies was variable. Duration of follow-up ranged from three to fifteen months. No studies were found that compared the combination of PCI and exercise with just exercise. One study reported significantly lower mortality, four significantly lower incidence of coronary events in the intervention group undergoing PCI and exercise rehabilitation compared to the control group only undergoing PCI. Also, five studies found a significantly lower incidence of restenosis in the intervention group and one showed that quality of life was significantly higher in intervention patients. Conclusions Our findings provide evidence for the positive effects of exercise in addition to PCI in secondary prevention of CHD. Despite the positive effects of exercise compared to PCI alone, no studies have investigated additional benefits of PCI in a combined approach compared to exercise alone.