Background Prostate cancer leads to worse quality of life due to treatment and consequences of disease; benefits of physical exercise remain unclear on the improvement of quality of life in this population. The aim of this study is to evaluate the effectiveness of physical exercise in improving quality of life in patients with prostate cancer. Methods A systematic review and meta-analysis was carried out. For the search of studies, we used electronics databases such as Cochrane Library, MEDLINE via PUBMED, Regional Health Portal, and EMBASE, without language restrictions or year of publication. The descriptors used were as follows: “prostatic neoplasms,” “exercise,” and “quality of life.” The risk analysis of bias in the meta-analysis was based on the Cochrane Collaboration Tool. For statistical analysis, the fixed effects model was used. Randomized controlled trials were included, which had a sample of patients with stage I–IV prostate cancer and that the intervention was aerobic physical exercise (AE) or resistance physical exercise (RE) or combined AE and RE. Results Five thousand six hundred nineteen studies were identified, but only 12 studies were selected. The quality of life of the patients was measured using instruments (SF 36, EORTC, AQoL-8D, IPSS and FACT-P), which served to divide the studies in groups where they presented the same instrument used. The analysis carried out shows that the quality of life of patients with prostate cancer submitted to aerobic training regimens had a protective effect in relation to the others. Conclusion Most studies show an improvement in the quality of life of patients when they practice physical exercise, perceived by increasing the score of the instrument in question. However, methodological and heterogeneous differences between the studies increase the analysis bias.