Objective: to compare the quality of life of elderly participants and non-participants of public physical exercise programs. Method: a control, analytical and cross-sectional study analyzing 108 elderly participants of public exercise programs (SG) and 126 non-participants (CG) in the city of Goiânia, Goias, Brazil, was performed. An initial Assessment Form, the Mental State Mini-Exam, the short version of the International Physical Activity Questionnaire, the World Health Organization Quality of Life - Bref (Whoqol-Bref) and the World Health Organization Quality of Life - Old (Whoqol-Old) were used. Comparison of socio-demographic profile and health conditions was performed using the Chi-squared test, while comparison of the quality of life of the SG and the CG was performed using covariance analysis (ANCOVA), followed by the post-hoc Tukey test. Results: the elderly persons in the SG had higher mean scores than those of the CG in all the Whoqol-Bref and Whoqol-Old domains (p<0.05). The active elderly in the CG did not exhibit differences in relation to the insufficiently active or sedentary members of the CG for any Whoqol-Bref or Whoqol-old domain (p≥0.05). Conclusion: the elderly participants in public physical exercise programs had a better perception of quality of life than non-participating elderly persons, and it was found that simply being active may not be enough to guarantee a better quality of life.