Objective: Physical exercise is associated with several benefits in the treatment of cystic fibrosis (CF), associated with a reduction in patient mortality. The aim of this systematic review was to determine the effectiveness of exercise interventions on physical condition and lung function in children and adults with CF to establish the most appropriate type and dose of physical exercise used so far. Methods: The studies included were randomized controlled trials with physical exercise interventions performed with children or adults with CF, analyzing the effects on pulmonary function, cardiorespiratory capacity, and muscle strength. The variables analyzed in at least four studies in the same population (children or adults) with the same measuring test were included in the meta-analysis. Results: Pulmonary function: There were no changes in the forced expiratory volume 1 s, but mouth expiratory/inspiratory pressures were improved in some studies. Physical fitness: In children, the interventions did not manage to improve the VO2peak (SMD = 0.22; 95%CI: -0.25 to 0.68; p = 0.73) but improved muscle strength. In adults, physical exercise interventions based on high-intensity aerobic training showed positive results in the VO2peak, and in some muscle strength outcomes. Conclusions: Exercise interventions in children and adults with CF are effective in improving muscle strength, cardiovascular capacity, and respiratory muscle function. However, they do not achieve improvements in lung function. The most effective programs are those using strength training or cardiovascular high-intensity interval training, although to date there have been few such interventions.