It was hypothesised that increased exercise capacity is related to improved quality of life (QoL) in patients with cystic fibrosis (CF). A 12-week individually tailored unsupervised aerobic exercise programme was offered to 42 patients with CF. At the start and at the end of the exercise programme, data on QoL, current exercise habits and preferences, anthropometric data, exercise test, and lung function test were collected. Adherence was observed by a heart rate (HR) monitor. A total of 24 patients accepted to be enrolled in the exercise programme and 14 completed the programme. Another 14 patients declined to be enrolled in the exercise programme but completed the Cystic Fibrosis Questionnaire for Adolescents and Adults (CFQ-R 14+). Four patients did not want to participate at all. The 14 patients completing the exercise programme had a significantly increased VO(2max), but they showed no significant change in total QoL score. However, the scores in the domain of treatment burden and emotional functioning increased significantly. There was no significant difference in QoL and lung function between patients participating in the exercise programme (n = 24) and non-participants (n = 14). A 12-week individually tailored unsupervised aerobic exercise programme where HR monitors were used significantly affected VO(2max). Improvement in QoL could not be demonstrated in this study.