Exercise in long COVID is poorly studied. Nevertheless, exerciserehabilitation could improve cardiorespiratory, muscular and autonomic functions. We aimed to investigate improvement in physical and autonomic performances of long COVID patients (n = 38) after a 4-week exercise rehabilitation program (3 sessions/week) compared to two control groups composed of coronary artery disease (n = 38) and fibromyalgia patients (n = 38), two populations for whom exercise benefits are well known. Efficacy of exercise training was assessed by a cardiopulmonary exercise test, a handgrip force test, and a supine heart rate variability recording at rest before and after the rehabilitation program. Cardiorespiratory and muscular parameters were enhanced after exercise rehabilitation in the three groups (p < 0.001). No significant difference was observed for the autonomic variables. Through this comparative study with control groups, we confirm and reinforce the interest of caring for long COVID patients without post-exertional symptom exacerbation by exercise rehabilitation of both strength and endurance training, by personalizing the program to the patient and symptoms.