More than 40 years ago, the effects of exertional dyspnoea and the associated fear of an asthma attack usually lead to an avoidance of physical activity amongst asthmatic children. This issue still exists today, particularly in children with severe asthma. This article presents a comprehensive review of published information concerning the effects of training programmes on children and adolescents with asthma. The primary focus of these investigations was to examine the effects of physical conditioning on aerobic fitness, the severity and incidence of exercise-induced asthma (EIA) and asthma symptoms. The large majority of training studies of asthmatic children and adolescents demonstrate significant increases in aerobic fitness post-training or the achievement of normal levels of aerobic fitness. While there are a few reports of a reduced severity in EIA symptoms post-training, the majority of studies demonstrate no change in the occurrence or degree of EIA. However, a number of these studies have reported some reductions in hospitalisations, wheeze frequency, school absenteeism, doctor consultations and medication usage. It is, therefore, recommended that children and adolescents with asthma should participate in regular physical activity. This may improve asthma management and associated general health benefits, whilst minimising inactivity-related health risks.