Background Statin treatment in association with physical exercise can substantially reduce mortality in dyslipidaemic individuals. However, the available data to compare the efficacy and safety of statins and exercise combination therapy with statin monotherapy are limited. Design Systematic review and meta-analysis. Methods We systematically searched PubMed, Embase and the Cochrane Library from database inception until December 2016. We included randomised and non-randomised studies that compared the efficacy and safety of statins and exercise combination therapy with statin monotherapy in patients with dyslipidaemia. Standardised mean differences were calculated and pooled by means of fixed effects models. The risk of bias and heterogeneity among trials was also assessed. Seven articles were assessed in terms of the efficacy of therapy and 13 from the viewpoint of therapeutic safety. Results In terms of efficacy, statins and exercise combination decreased the incidence of diabetes mellitus, improved insulin sensitivity and inflammation, but caused no change in lipid profile compared to statins alone. In terms of safety, statins and exercise combination increased peak oxygen uptake (standardised mean difference 1.01, 95% confidence interval 0.46 to 1.57) compared to statins alone. In contrast to statin-induced myopathy, chronic exercise training prior to statin treatment could counteract statin-induced adverse effects in skeletal muscle. Conclusion Statins and exercise combination therapy is more effective than statin monotherapy in terms of insulin sensitivity, inflammation and exercise capacity. The small number of studies warrants the need for more randomised controlled trials evaluating the efficacy and safety of combination therapy.