Purpose Aerobic exercise improves prognosis and quality of life (QoL) following completion of chemotherapy. However, the safety and efficacy of aerobic exercise during chemotherapy is less certain. A systematic review was performed of randomised trials of adult patients undergoing chemotherapy, comparing an exercise intervention with standard care. Method From 253 abstracts screened, 33 unique trials were appraised in accordance with PRISMA guidance, including 3257 patients. Interventions included walking, jogging or cycling, and 23 were of moderate intensity (50–80% maximum heart rate). Results Aerobic exercise improved, or at least maintained fitness during chemotherapy. Moderately intense exercise, up to 70–80% of maximum heart rate, was safe. Any reported adverse effects of exercise were mild and self-limiting, but reporting was inconsistent. Adherence was good (median 72%). Exercise improved QoL and physical functioning, with earlier return to work. Two out of four studies reported improved chemotherapy completion rates. Four out of six studies reported reduced chemotherapy toxicity. There was no evidence that exercise reduced myelosuppression or improved response rate or survival. Conclusions Exercise during chemotherapy is safe and should be encouraged because of beneficial effects on QoL and physical functioning. More research is required to determine the impact on chemotherapy completion rates and prognosis.