Background: There is strong evidence that specific pelvic floor muscle training (PFMT) reduces stress urinary incontinence (SUI), but the application of functional magnetic stimulation (FMS) is still under discussion. Objective: To evaluate and compare the effects of FMS and PFMT on pelvic floor muscle function, urinary incontinence symptoms and quality of life (QoL) in women with SUI. Methods: A randomized controlled, parallel-group trial was executed in an outpatient physical medicine and rehabilitation centre. The study included 68 women and was fully completed by 48 women (n = 24 in each group) aged 29–49 years, with SUI, who were randomly assigned to PFMT and FMS groups. The symptoms of urinary incontinence and their impact on quality of life were assessed with two questionnaires: the International Consultation on Incontinence Questionnaire–Short Form (ICIQ-SF) and the Incontinence Impact Questionnaire–Short Form (IIQ-7). Perineometer (Pelvexiser) was used to measure the resting vaginal pressure, pelvic floor muscle (PFM) strength and endurance. All outcome measures were taken at baseline and after 6 weeks of interventions. Cohen’s effect size (d) was calculated. Results: A significant improvement (p < 0.05) of ICIQ-SF and IIQ-7 was observed in both groups with a high effect size in the PFMT group (d = 1.56 and d = 1.17, respectively) and the FMS group (d = 1.33 and d = 1.45, respectively). ICIQ-SF and IIQ-7 scores did not differ significantly between groups after the 6-week treatment period. Resting vaginal pressure, PFM strength and endurance increased (p < 0.05) in both groups with a medium (d = 0.52) to large (d = 1.56) effect size. Conclusion: No significant difference between groups was found in any measurement of perineometry. PFMT and FMS significantly improved SUI symptoms and the quality of life of the study participants. None of the applied interventions was superior to the other in the short-term effect.