Although exercise in the form of stretching, strength maintenance, and aerobic conditioning is generally considered beneficial to patients with fibromyalgia (FM), there is no reliable evidence to explain why exercise should help alleviate the primary symptom of FM, namely pain. Study results are varied and do not provide a uniform consensus that exercise is beneficial or what type, intensity, or duration of exercise is best. Patients who suffer from exercise-induced pain often do not follow through with recommendations. Evidence-based prescriptions are usually inadequate because most are based on methods designed for persons without FM and, therefore, lack individualization. A mismatch between exercise intensity and level of conditioning may trigger a classic neuroendocrine stress reaction. This review considers the adverse and beneficial effects of exercise. It also provides a patient guide to exercise that takes into account the risks and benefits of exercise for persons with FM.