We investigated the therapeutic effects of exercise in patients with obstructive sleep apnea (OSA), aiming to identify the subgroups that benefit the most and determine the optimal exercise protocol. Major databases were searched for randomized controlled trials involving patients with OSA performing aerobic exercise and/or resistance training. The investigated outcomes included apnea-hypopnea index (AHI), Epworth Sleepiness Scale (ESS), body mass index (BMI), and peak oxygen consumption during exercise (VO2peak). The pre- and postintervention unstandardized mean difference (USMD) of these parameters was compared between the exercise and control groups. Twelve studies involving 526 patients were included. Exercise training significantly reduced AHI (USMD = -7.08 events/hour, 95% confidence interval [CI]: -9.98 to -4.17, p < 0.00001), ESS (USMD = -2.37, CI: -3.21 to -1.54, p < 0.00001), and BMI (USMD = -0.72 kg/m2, CI: -1.22 to -0.22, p = 0.005) and enhanced VO2peak (USMD = 3.46 mL/kg/min, CI: 1.20 to 5.71, p = 0.003). Subgroup analyses revealed that in continuous positive airway pressure (CPAP)-adherent patients, exercise significantly improved VO2peak but did not reduce AHI and ESS. A trend was observed that combining resistance training with aerobic exercise resulted in greater AHI reduction and VO2peak enhancement. Notably, exercise improved AHI, ESS, BMI, and VO2peak regardless of the baseline AHI or BMI. Exercise, including resistance and aerobic training, should be part of treatment for patients with OSA of all severities, regardless of obesity status, and even for those who are already under CPAP. The study protocol was registered with the PROSPERO database (#CRD42023423527).