Obstructive sleep apnea (OSA) is a common clinical condition, with a variable and underestimated prevalence. OSA is the main condition associated with secondary systemic arterial hypertension, as well as with atrial fibrillation, stroke, and coronary artery disease, greatly increasing cardiovascular morbidity and mortality. Treatment with continuous positive airway pressure is not tolerated by all OSA patients and is often not suitable in cases of mild OSA. Hence, alternative methods to treat OSA and its cardiovascular consequences are needed. In OSA patients, regular physical exercise has beneficial effects other than weight loss, although the mechanisms of those effects remain unclear. In this population, physiological adaptations due to physical exercise include increases in upper airway dilator muscle tone and in slow-wave sleep time; and decreases in fluid accumulation in the neck, systemic inflammatory response, and body weight. The major benefits of exercise programs for OSA patients include reducing the severity of the condition and daytime sleepiness, as well as increasing sleep efficiency and maximum oxygen consumption. There are few studies that evaluated the role of physical exercise alone for OSA treatment, and their protocols are quite diverse. However, aerobic exercise, alone or combined with resistance training, is a common point among the studies. In this review, the major studies and mechanisms involved in OSA treatment by means of physical exercise are presented. In addition to systemic clinical benefits provided by physical exercise, OSA patients involved in a regular, predominantly aerobic, exercise program have shown a reduction in disease severity and in daytime sleepiness, as well as an increase in sleep efficiency and in peak oxygen consumption, regardless of weight loss.