A systematic review of English and French articles using Pubmed/Medline and Embase included studies assessing objective physical activity levels of obstructive sleep apnea (OSA) patients and exploring the effects of exercise training on OSA severity, body mass index (BMI), sleepiness, and cardiorespiratory fitness [peak oxygen consumption (VO2peak)]. Two independent reviewers analyzed the studies, extracted the data, and assessed the quality of evidence. For objective physical activity levels, eight studies were included. The mean number of steps per day across studies was 5,388 (95% CI: 3,831-6,945; p < 0.001), which was by far lower than the recommended threshold of 10,000 steps per day. For exercise training, six randomized trials were included. There was a significant decrease in apnea-hypopnea-index following exercise training (mean decrease of 8.9 events/h; 95% CI: -13.4 to -4.3; p < 0.01), which was accompanied by a reduction in subjective sleepiness, an increase in VO2peak and no change in BMI. OSA patients present low levels of physical activity and exercise training is associated with improved outcomes. Future interventions (including exercise training) focusing on increasing physical activity levels may have important clinical impacts on both OSA severity and the burden of associated co-morbidities. Objective measurement of physical activity in routine OSA management and well-designed clinical trials are recommended.