BACKGROUND Anxiety is a prominent disabling non-motor neuropsychiatric complication of Parkinson’s disease (PD). Pharmacological treatments for PD and anxiety have drug interactions and negative side effects. Therefore, non-pharmacological interventions such as exercise has been proposed to reduce anxiety in people with PD (PwP). OBJECTIVE This systematic review aimed to explore the relationship between physical exercise and anxiety in PwP. METHOD Four databases (PubMed, Embase, Scopus, Ebscohost) were searched without date restrictions. English randomized control trials (RCT) including adults with PD, exposed to physical exercise interventions with anxiety as an outcome variable, were included. Quality was assessed by means of an adapted 9-point PEDro scale. RESULTS Five of the identified 5547 studies met the inclusion criteria. Sample size ranged between 11–152 participants, totaling 328 participants with majority being male. PD stage ranged from early to moderate, with disease duration ranged between 2.9 and 8.0 years. All studies measured anxiety at baseline and post-intervention. On average studies scored 7/9 (76%) on the PEDro scale. CONCLUSION There is insufficient evidence to support or refute the effect of exercise on anxiety in PwP due to noted limitations of included studies. There is an urgent need for high-quality RCTs on physical exercise and anxiety in PwP.