Frailty is a physiological syndrome that increases the risk of poor health. Although some research has been conducted to study the benefits of physical exercise in frail elderly populations, different operational definitions of frailty have been used, and this makes the studies difficult to compare. The present review was aimed at examining the influence of exercise on health in frail older adults. Studies using randomized controlled trials that administered an exercise program to a frail elderly population and that had an operational definition of frailty were selected from publications between January 2000 and October 2008. Information about the study population, frailty criteria, exercise program, principles of exercise training, randomization procedures, main and secondary outcome measures, study follow-up, and control group characteristics was taken from these studies, and the results from a final sample of 28 articles are discussed. Exercise training seems to be a safe and effective tool for promoting and maintaining optimal health levels in a wide variety of vulnerable older adults. However, the lack of studies on a well-defined frail older adult sample with selection procedures based on current knowledge in this field does not allow us, at the present time, to conclude that exercise influences health in this population. Further research is needed to confirm the benefits of exercise on health in frail older adults. The study population must be selected based on current knowledge in the area of frailty, and the design of the exercise program must be based on principles of training