Systemic lupus erythematosus (SLE) is a rheumatic disease characterized by a variety of symptoms, especially fatigue, pain and reduced quality of life. Physical exercise is a useful tool for improving cardiovascular fitness, reducing metabolic abnormalities and fatigue and improving quality of life. However, very few studies have focused on the relationship between SLE and physical exercise. This paper reviews the main SLE symptoms that can be alleviated by exercising, as well as the results of studies seeking to analyse the exercise capacity and physical training possibilities of SLE patients. Considerations for future research are also discussed.