Progressive supranuclear palsy is a form of atypical Parkinsonism. People living with Progressive Supranuclear Palsy have various symptoms, such as movement and cognitive disorders, which mainly affect balance and functional ability with an increased risk of falls, dexterity, and dementia. The role of exercise at the early stage of progressive supranuclear palsy remains unclear. The aim of the present study was to examine the effectiveness of an exercise program at the early stage of progressive supranuclear palsy. A patient with a diagnosis of progressive supranuclear palsy within the past year followed a supervised 12-week exercise program (two times per week) by a physiotherapist, with a session lasting about 40 min at a private physiotherapy clinic. Functional status, balance, quality of life, anxiety, and depression were assessed four times with valid instruments and tests. The results from the timed-up-and-go test demonstrated an improvement in performance (MCID value = 3.4). Improvements were observed in the scores of the Parkinson’s Disease Questionnaire-39 (MCID value = 0.6). Finally, an improvement was reported in the score of the anxiety factor of the hospital anxiety and depression scale (MCID value = 1.5). Physiotherapy appears to improve functional capacity, quality of life, and mental health. Further research is needed to confirm these results with a large sample size in combination with other complementary therapies such as mental imagery.