Several risk scores have been used to predict risk after an acute coronary syndrome (ACS), but none of these risk scores include functional class. The aim was to assess the predictive value of risk stratification (RS), including functional class, and how cardiac rehabilitation (CR) changed RS. Two hundred and thirty-eight patients with ACS from an ambispective observational registry were stratified as low (L) and no-low (NL) risk and classified according to exercise compliance; low risk and exercise (L-E), low risk and control (no exercise) (L-C), no-low risk and exercise (NL-E), and no-low risk and control (NL-C). The primary endpoint was cardiac rehospitalization. Multivariable analysis was performed to identify variables independently associated with the primary endpoint. The L group included 56.7% of patients. The primary endpoint was higher in the NL group (18.4% vs. 4.4%, p < 0.001). After adjustment for age, sex, diabetes, and exercise in multivariable analysis, HR (95% CI) was 3.83 (1.51−9.68) for cardiac rehospitalization. For RS and exercise, the prognosis varied: the L-E group had a cardiac rehospitalization rate of 2.5% compared to 26.1% in the NL-C group (p < 0.001). Completing exercise training was associated with reclassification to low-risk, associated with a better outcome. This easy-to-calculate risk score offers robust prognostic information. No-exercise groups were independently associated with the worst outcomes. Exercise-based CR program changed RS, improving classification and prognosis.