Background Physical exercise in women with breast cancer has shown benefits in reducing fatigue levels during adjuvant radiotherapy and chemotherapy. However, it is not well understood which type of exercise is more effective. Objective Assess the impact of different types of physical exercises on fatigue and which is the most effective in reducing this adverse effect during adjuvant treatment in breast cancer. Methods The inclusion criteria were randomized clinical trials of physical exercise in women diagnosed with breast cancer in stages I to IV, above 18 years, evaluating fatigue using validated questionnaires. The meta-analysis pooled results by standardized mean difference (SMD). Results A total of 20 randomized clinical trials involving 1793 participants revealed that the practice of physical exercise was statistically effective in reducing fatigue (SMD = - 0.46; 95% CI: - 0.66, - 0.27). Our analysis of subgroups suggests that the supervised combination of resistance training (RT) with aerobic training (AT) is the most effective physical exercise to reduce fatigue (SMD = - 1.13; 95% CI: - 2.09, - 0.17). The supervised RT was more effective (SMD = - 0.30; 95% CI: - 0.46, - 0.15) than supervised AT or mind-body techniques. It was observed that only during chemotherapy, women with breast cancer in the intervention groups showed a significant reduction in fatigue (SMD = - 0.38; 95% CI: - 0.55 to - 0.20). Conclusion Physical exercise during adjuvant chemotherapy and/or radiotherapy in women with breast cancer can be considered beneficial in reducing fatigue, especially for women undergoing chemotherapy and for supervised training of resistance or combined RT and AT.