FM is a complex rheumatic condition characterized by chronic pain without evident inflammation. It primarily affects women between the ages of 55 and 74, impairing quality of life due to pain, fatigue, sleep disturbances, and emotional symptoms. Objective: To identify and report the effects of physical exercise on pain improvement in patients with FM. Methodology: An integrative literature review was conducted using the PICo strategy, covering primary studies from randomized clinical trials published between 2019 and 2024. The search was carried out in the LILACS, PubMed, SciELO, and PEDro databases, focusing on the benefits of exercise in pain management. The inclusion criteria were limited to full-text articles in Portuguese and English. Results: A total of 642 studies were analyzed, of which 9 were included in the final sample. These studies showed that aerobic, resistance, aquatic, and stretching exercises significantly contributed to the reduction of pain and fatigue. Additionally, there was an improvement in sleep quality, functional capacity, and emotional well-being, with a decrease in symptoms such as anxiety and depression. However, some studies did not show statistically significant results. Conclusion: It is concluded that physical exercise, when supervised and adjusted to individual needs, is an effective intervention in the management of fibromyalgia, providing pain relief and improving quality of life. Further studies are needed to investigate the interaction of exercises with other treatments, such as pharmacotherapy, and to evaluate long-term effects.