Aerobic exercise and CPAP benefit patients in the postoperative period of cardiac surgery. To our knowledge, the association of aerobic exercise on an exercise bicycle with CPAP has not yet been demonstrated. Therefore, we aimed to evaluate the effectiveness of physical exercise on a cycle ergometer combined with CPAP in the postoperative period after coronary artery bypass graft surgery. This was a randomized clinical trial, with recruitment from May 2017 to December 2017 (registered in the Brazilian Clinical Trials Registry: RBR-69CDYF). The step group (n = 16 subjects) started rehabilitation in the immediate postoperative period with breathing exercises and passive mobilization in the sitting position, progressing to active exercises, ambulation, and stair training. For the intervention group (n = 15 subjects), dynamic exercises on a cycle ergometer combined with CPAP were added to the step program from the second to the fourth postoperative day in a single daily session. Functional capacity decreased in both groups, but this reduction was not significant in the intervention group (P = .11). The length of stay in ICU was lower in the intervention group (P = .050). In both groups there was a decrease in maximum inspiratory and expiratory pressure, as well as in the 1-min sit-to-stand test on the fourth postoperative day compared to the preoperative period. Physical exercise combined with CPAP promoted the maintenance of functional capacity and reduced the length of stay in the ICU.