Fibromyalgia is a rheumatic disease characterised by chronic widespread muscular pain and its treatment is carried out by pharmacological interventions. Physical exercise and a healthy lifestyle act as an important mechanism in reducing the symptoms of the disease. The aims of this study were to analyse and systematise the characteristics of combined training programs (i.e., type and duration of interventions, weekly frequency, duration and structure of training sessions and prescribed intensities) and to analyse their effects on people diagnosed with fibromyalgia. A systematic literature search was performed using the PRISMA method and then randomised controlled trial articles that met the eligibility criteria were selected. The Physiotherapy Evidence Database scale was used to assess the quality and risk of the studies. A total of 230 articles were selected, and in the end, 13 articles met the defined criteria. The results showed different exercise interventions such as: combined training, high-intensity interval training, Tai Chi, aerobic exercise, body balance and strength training. In general, the different interventions were beneficial for decreasing physical symptoms and improving physical fitness and functional capacity. In conclusion, a minimum duration of 14 weeks is recommended for better benefits. Moreover, combined training programs were the most effective for this population, in order to reduce the symptoms of the disease with a duration between 60 and 90 min, three times a week with a light to moderate intensity.