To evaluate the efficacy and economic efficiency of a multimedia, multimodal physical activity program for women undergoing adjuvant therapy following surgery for breast cancer. We conducted a randomized trial with concurrent incremental cost-effectiveness analysis and blinded baseline, 3, 6 and 12-month follow-up assessments amongst women undergoing adjuvant therapy following surgery for breast cancer (n = 89). The intervention was a multimedia, multimodal exercise program comprising strength, balance and endurance training elements. The control was sham flexibility and relaxation program delivered using similar materials. The primary outcome was health-related quality of life (EQ-5D & VAS, EORTC C30, BR23). Economic outcomes included direct health care costs and productivity gains and losses. Participants in the intervention group demonstrated greater improvement in health-related quality of life between baseline and the 3-month assessment [mean (sd) EQ-5D VAS (0-100) baseline: 72.6 (15.6), 3 month: 80.6 (11.6)] when compared to control group participants [baseline: 77.5 (13.5), 3 month: 74.1 (20.6), P = 0.006] and also improved more in terms of physical function [mean (sd) EORTC C30 physical function scale intervention (0-100) baseline: 84.9 (14.8), 3 month: 86.9 (10.7), control baseline: 91.3 (9.6), 3 month: 86.7 (14.9), P = 0.02]. These improvements were not sustained beyond this point. Upper limb volumes were also lower amongst intervention group participants. However, there was low probability that the intervention would be both less costly and more effective than the control condition (range probability = 0.05-50.02% depending on approach). Provision of multimodal exercise programs will improve the short-term health of women undergoing adjuvant therapy for breast cancer but are of questionable economic efficiency.