Numerous quantitative studies have illustrated the potential usefulness of exercise programs for women with fibromyalgia. However, a deeper understanding of the physical and especially psychosocial benefits of exercise therapy from the subjective perspective of this population is still needed. This study was conducted with 25 women who had fibromyalgia and were participating in a nine-month, group-based exercise program. The aim was to provide an in-depth description and analysis of the perceived physical and psychosocial benefits of participation. Qualitative data were collected through observation, interviews, and focus groups. The exercise program not only alleviated the physical symptoms of fibromyalgia, but social interactions within the group helped to counteract the isolation, frustration, and depression often associated with this chronic condition. The data from this study may contribute to a deeper understanding of the benefits of exercise for women with fibromyalgia and might be useful for the improvement of future exercise programs for this population.