Background: Childhood obesity has negative impact on heart-rate variability (HRV) and, thereby, on the cardiovascular health of children and adolescents. Thus, physical-exercise interventions were proposed to increase HRV. The present systematic review aims to provide an up-to-date analysis of research on the effect of physical-exercise interventions on HRV in obese children and adolescents. Methods: An electronic search of the literature was performed, and 10 articles were included. PRISMA guideline methodology was employed. Results: Physical-exercise interventions predominantly involved aerobic training; however, alternative training programs, including judo or recreational soccer, were found. The duration of intervention ranged from 6 to 24 weeks, with a training frequency of between 2 and 7 times per week. The duration of sessions typically ranged from 40 to 60 min. Conclusions: Results of the included articles indicated that physical-exercise intervention increased the HRV and thereby the autonomic modulation of obese children and adolescents. This is significant, as HRV is associated with cardiovascular health. Such physical-exercise interventions are crucial to reduce weight and improve cardiovascular health in children and adolescents, thereby achieving a sustainable future.