Context: Psychosocial parameters play an important role in the onset and persistence of chronic musculoskeletal disorders (CMSDs). Exercise therapy is a valuable therapeutic modality as part of CMSD rehabilitation. Hereby, exercise intensity is an important factor regarding changes in pain and disability in multiple CMSDs. However, the impact of exercise intensity on psychosocial outcomes remains poorly explored. Objective: To identify the effects of different modes of exercise intensity on psychosocial outcomes in persons with CMSDs. Data Sources: A systematic search was conducted up to November 2020 using the following databases: PubMed/MEDline, PEDro, Cochrane Library, and Web of Science. Study Selection: Studies reporting exercise therapy in CMSDs with a predefined display of exercise intensity and an evaluation of at least 1 psychosocial outcome were included. Study Design: Systematic review. Level of Evidence: Level 2a. Data Extraction: Data regarding demographics, exercise intensity, and psychosocial outcomes were included in a descriptive analysis. Methodological quality was assessed using the PEDro scale and Critical Appraisal Skills Programme (CASP) checklist. Results: A total of 22 studies, involving 985 participants (with fibromyalgia, chronic low back pain, knee osteoarthritis, psoriatic arthritis, and axial spondyloarthritis) were included (mean PEDro score = 5.77/10). The most common psychosocial outcomes were quality of life (QoL) (n = 15), depression (n = 10), and anxiety (n = 9). QoL improved at any exercise intensity in persons with fibromyalgia. However, persons with fibromyalgia benefit more from exercising at low to moderate intensity regarding anxiety and depression. In contrast, persons with chronic low back pain benefit more from exercising at a higher intensity regarding QoL, anxiety, and depression. Other CMSDs only showed limited or conflicting results regarding the value of certain exercise intensities. Conclusion: Psychosocial outcomes are influenced by the intensity of exercise therapy in fibromyalgia and chronic low back pain, but effects differ across other CMSDs. Future research is necessary to determine the exercise intensity that yields optimal exercise therapy outcomes in specific CMSDs.