This study aimed to determine the effectiveness of physical exercise in decreasing fatigue in cancer patients during active treatment. The PubMed Central, EMBASE, and OVID databases were consulted up to April 2014 to identify randomized clinical trials that evaluated the effect of exercise on fatigue in cancer patients undergoing active treatment. Eleven studies (n = 1,407) were included. Chemotherapy was the most common form of treatment (n = 1,028). The studies showed a low risk of bias and high methodological quality. Effect estimates showed that physical exercise significantly improved fatigue (SMD = -3.0; 95%CI: -5.21; -0.80), p < 0.0001. Similar effects were found for resistance training (SMD = -4.5; 95%CI: -7.24; -1.82), p = 0.001. Significant improvements were found in breast and prostate cancer patients (p < 0.05). Exercise is a safe and effective intervention in the management fatigue in cancer patients undergoing active treatment.