This study was aimed to investigate the effects of an exercise trial on self-esteem, self-concept and quality of life in patients with fibromyalgia and to evaluate whether improvements in psychological distress were related to changes in physical functioning. Twenty-eight women with a primary diagnosis of fibromyalgia were randomized to a usual care control group or to a 12-week supervised training programme consisting of 3 weekly sessions of aerobic, strengthening and flexibility exercises. Outcomes were physical functioning (Fibromyalgia Impact Questionnaire (FIQ), lower-body strength and flexibility) and psychological functioning (SF-36, Rosenberg self-esteem scale and Erdmann self-concept scale). Outcomes were measured at study entry and at the end of the intervention. Compared to the control group, statistically significant improvements in self-esteem, self-concept, FIQ, physical functioning, role physical, bodily pain, vitality, role emotional, social functioning, mental health, isometric strength, muscular endurance and flexibility were evident in the exercise group at the end of treatment. Self-esteem and self-concept scores were correlated positively with role emotional, mental health and the mental component summary of SF-36 and were negatively correlated to FIQ scores. No significant correlation existed between self-esteem or self-concept and isometric strength, muscular endurance or flexibility. Our results highlight the need for a broader array of physical and mental outcomes and the importance of examining patient's perceptions in future research therapies.