There are evidences that physical exercise is an effective instrument for improving physical fitness, health, and quality of life and causes beneficial effects on the symptoms of patients with fibromyalgia. The purpose of this study was to analyze effects of a functional training program on pain, fitness, and quality of life in patients with fibromyalgia in a 9‐year prospective longitudinal cohort study. Forty women with fibromyalgia participated in this study; 24 received an exercise program and were called the active group; and 16 were the control group. Tender points, visual analogical scale (VAS) of pain, physical fitness, Fibromyalgia Impact Questionnaire (FIQ), and Short‐Form Health Survey 36 (SF‐36) were analyzed. The active group experienced significant improvements in FIQ, TP, and VAS (P < .001), whereas the control group showed significant worsening in the FIQ scale (P = .004). Moreover, the active group experienced significant improvements in leg strength (P < .001), balance (P = .033), cardiorespiratory fitness (P < .001), emotional role (P = .024), and mental health (P = .025); whereas the control group significantly worsened on handgrip strength (P = .017), balance (P = .043), cardiorespiratory fitness (P = .020), and in general health (P < .001). A Pearson correlation analysis revealed a significant relationship between the improvement in physical fitness variables and the improvements in FIQ, TP, and VAS. In conclusion, a regular practice of moderate‐intensity physical activity shows a positive effect long‐term on fitness, pain, the impact of the disease, and the quality of life in women with fibromyalgia.