Pulmonary arterial hypertension (PAH) represents a chronic progressive disease characterized by high blood pressure in the pulmonary arteries leading to right heart failure. The disease has been a focus of medical research for many years due to its worse prognosis and limited treatment options. The aim of this study was to systematically assess the effects of different types of exercise interventions on PAH. Electronic databases were searched until July 2019. MEDLINE database was used as the predominant source for this paper. Studies with regards to chronic physical activity in adult PAH patients are compared on retrieving evidence on cellular, physiological, and psychological alterations in the PAH setting. Twenty human studies and 12 rat trials were identified. Amongst all studies, a total of 628 human subjects and 614 rats were examined. Regular physical activity affects the production of nitric oxygen and attenuates right ventricular hypertrophy. A combination of aerobic, anaerobic, and respiratory muscle training induces the strongest improvement in functional capacity indicated by an increase of 6 MWD and VO2 peak. In human studies, an increase of quality of life was found. Exercise training has an overall positive effect on the physiological and psychological components of PAH. Consequently, PAH patients should be encouraged to take part in regular exercise training programs.