Fibromyalgia (FM) is a chronic syndrome characterized by widespread pain and other physical and psychological features. In this study, we aimed to analyze the effect of a low-intensity physical exercise (PE) program, combining endurance training and coordination, on psychological aspects (i.e., pain catastrophizing, anxiety, depression, stress), pain perception (i.e., pain acceptance, pressure pain threshold (PPT), and quality of life and physical conditioning (i.e., self-perceived functional capacity, endurance and functional capacity, power and velocity) in women with FM. For this purpose, a randomized controlled trial was carried out. Thirty-two women with FM were randomly allocated to a PE group (PEG, n = 16), performing an eight-week low-intensity PE program and a control group (CG, n = 16). Pain catastrophizing, anxiety, depression, stress, pain acceptance, PPT, quality of life, self-perceived functional capacity, endurance and functional capacity, power, and velocity were assessed before and after the intervention. We observed a significant improvement in all studied variables in the PEG after the intervention (p < 0.05). In contrast, the CG showed no improvements in any variable, which further displayed poorer values for PPT (p < 0.05). In conclusion, a low-intensity combined PE program, including endurance training and coordination, improves psychological variables, pain perception, quality of life, and physical conditioning in women with FM.