Physical exercise is considered to be a non-pharmacological strategy for reducing symptoms of cancer-related fatigue (CRF) in women with breast cancer (BC). This systematic review and meta-analysis aims to assess the effects of non-supervised exercise programs in comparison with the effects of supervised exercise interventions for CRF in BC patients. Randomized controlled trials that investigated the effect of exercise on CRF in women were searched for until 29 June 2022. Inclusion criteria comprised women diagnosed with BC; exercise-based interventions; trials comparing at least one exercise group vs. a control group; trials that assessed exercise effects on CRF. Thirty-one studies met the inclusion criteria (n = 2964). Both non-supervised and supervised exercise programs significantly reduced CRF (standard mean difference (SMD) = −0.46, confidence interval (CI) = (−0.64, −0.28), p < 0.0001 and SMD = −0.74, CI = (−0.99, −0.48), p < 0.0001, respectively), without statistical difference (p = 0.09). However, a short-term training program subgroup analyses showed significant differences between supervised and non-supervised training programs (p = 0.01), showing that supervised training programs have a greater effect (SMD = −1.33, CI = (−1.92, −0.73), p < 0.0001) than non-supervised ones (SMD = −0.44, CI = (−0.78, −0.11), p = 0.009). Both supervised and non-supervised exercise programs may reduce CRF in BC patients; however, in the short-term, supervised exercise may have a greater effect on CRF in BC patients.