Systemic autoimmune myopathies (SAMs) are a heterogeneous group of rare systemic autoimmune diseases that primarily affect skeletal muscles. Patients with SAMs show progressive skeletal muscle weakness and consequent functional disabilities, low health quality, and sedentary lifestyles. In this context, exercise training emerges as a non-pharmacological therapy to improve muscle strength and function as well as the clinical aspects of these diseases. Because many have feared that physical exercise exacerbates inflammation and consequently worsens the clinical manifestations of SAMs, it is necessary to evaluate the possible benefits and safety of exercise training among these patients. The present study systematically reviews the evidence associated with physical training among patients with SAMs.