Exercise has been recommended for fibromyalgia treatment. However, doubts related to exercise benefits remain unclear. The objective of this study was to summarise, through a systematic review with meta-analysis, the available evidence on the effects of aerobic, resistance and stretching exercise on pain, depression, and quality of life. Search was performed using electronic databases Pubmed and Cochrane Library. Studies with interventions based on aerobic exercise, resistance exercise and stretching exercise published until July 2020 and updated in December 2021, were identified. Randomized controlled trials and meta-analyses involving adults with fibromyalgia were also included. Eighteen studies were selected, including a total of 1184 subjects. The effects were summarised using standardised mean differences (95% confidence intervals) by random effect models. In general, aerobic exercise seems to reduce pain perception, depression and improves quality of life; it also improves mental and physical health-related quality of life. Resistance exercise decreases pain perception and improves quality of life and moreover improves the physical dimension of health-related quality of life. It was also observed that resistance exercise appears to have a non-significant positive effect on depression and the mental dimension of health-related quality of life. Studies revealed that stretching exercise reduces the perception and additionally improves quality of life and health-related quality of life. However, a non-significant effect was observed on depression. We conclude that exercise may be a way to reduce depression, and pain and improve the quality of life in adult subjects with fibromyalgia and should be part of the treatment for this pathology.