Background A moderate to high level of physical activity, including regular exercise, represents an established behavioral and rehabilitative approach for persons with multiple sclerosis (pwMS). Although being increasingly proposed to limit disease activity and progression, high-quality evidence is lacking. Objective The objective of the study is to provide valuable information for MS clinicians and researchers by systematically evaluating the current state of evidence (i) whether exercise interventions affect established clinical measures of disease activity and progression in pwMS (i.e., EDSS, relapse rate, lesion load, brain volume, MSFC) and (ii) how the physical activity and fitness level interact with these measures. Methods Literature search was conducted in MEDLINE, EMBASE, CINAHL, and SPORTDiscus. Evaluation of evidence quality was done based on standards published by The American Academy of Neurology. Results It is likely that exercise improves the MSFC score, whereas the EDSS score, lesion load, and brain volume are likely to remain unchanged over the intervention period. It is possible that exercise decreases the relapse rate. Results from cross-sectional studies indicate beneficial effects of a high physical activity or fitness level on clinical measures which, however, is not corroborated by high evidence quality. Conclusions A (supportive) disease-modifying effect of exercise in pwMS cannot be concluded. The rather low evidence quality of existing RCTs underlines the need to conduct more well-designed studies assessing different measures of disease activity or progression as primary end points. A major limitation is the short intervention duration of existing studies which limits meaningful exercise-induced effects on most disability measures. Findings from cross-sectional studies are difficult to contextualize regarding clinical importance due to their solely associative character and low evidence quality. PROSPERO registration number CRD42020188774.