Introduction: One of the recommended for fibromyalgia treatment is the practice of physical exercise, maintained regularly which can improve the quality of sleep in this population. Objective: To verify through systematic literature review the effects of exercise on sleep in patients with fibromyalgia. Methods: A systematic review was conducted in electronic databases Scientific Electronic Library Online (SciELO), PubMed, Physiotherapy Evidence Database (PEDro) and Science Direct. The review process followed the guidelines proposed by PRISMA protocol (Group Preferred Reporting Items for Systematic Reviews and Meta-Analyses). Results: To the whole 44 studies were identified, nine of these met the inclusion criteria and were selected. There was a significant improvement in sleep quality for fibromyalgia patients who underwent aerobic exercises, muscle stretching, muscle strengthening, exercise pool and tai-chi. Conclusions: The physical exercises analyzed in the study improved the quality of sleep in patients with fibromyalgia syndrome.