All of the specialists who deal in some way with fibromyalgia (FM) broadly agree that physical reconditioning programmes are useful, but it is not yet clear what type of physical activity is the most appropriate for different subsets of patients. The aim of this review was to examine the randomised controlled trials (RCTs) published between 1985 and August 2010 whose outcome measures indicate the effectiveness of different types of physical exercise (PE) on the main health domains affected by FM: pain, and physical and mental function. Studies that simultaneously used different types of PE or multimodal treatment strategies were excluded from the analysis, as were those in which the primary and secondary endpoints prevented any assessment of treatment efficacy in all three health domains. Twenty-seven studies were selected: 15 considered land-based physical aerobic exercise (PAE); seven exercises in water; and five muscle strengthening exercise (MSE). There was substantial uniformity in assessing the effectiveness of land- or water-based PAE and MSE in improving aerobic physical fitness (PF) and functional state. Water-based PAE offers some advantages over similarly intense land-based PAE in reducing spontaneous pain and improving depressive symptoms, but the data are insufficient to establish its overall superiority. Regardless of method, the latest findings concerning the neurophysiology of nociception indicate the fundamental importance of assigning workloads that do not exacerbate post-exercise pain.