Purpose The aim of this study was to analyze the effectiveness of conservative treatment of patellofemoral pain syndrome with physical exercise. Subjects and Methods A computer-based review conducted of four databases (PubMed, the Cochrane Library, PEDro, and the University Library) was completed based on the inclusion criteria of patellofemoral pain syndrome patients treated with physical exercise methods and examination with self-reported pain and/or functional questionnaires. Results The findings of ten clinical trials of moderate to high quality were evaluated to determine the effectiveness of physical exercise as conservative management for patellofemoral pain syndrome. Conclusion The intervention programs that were most effective in relieving pain and improving function in patellofemoral pain syndrome included proprioceptive neuromuscular facilitation stretching and strengthening exercises for the hip external rotator and abductor muscles and knee extensor muscles.