Fibromyalgia syndrome is a nonarticular rheumatic disorder characterised by diffuse musculoskeletal pain, stiffness, fatigue, disturbed sleep and tender points. The pathophysiology is not well understood and treatment remains a challenge. Although pharmacological therapy is still the primary treatment choice, a long-term effective intervention has not been demonstrated yet. Thus, besides pharmacotherapy, other multimodal interventions are often used. Exercise and cognitive-behavioural treatments which exist in the multimodal approach and encompass largely self-managed strategy, are reviewed in this article. Although, there is a great number of exercise studies, the large diversity of outcome measures and measurement instruments that have been used in studies, varying intensity and types of exercises, small sample sizes, high attrition rates, large variability in baseline function, symptom severity and psychosocial status limit to come to a conclusion about the efficacy of exercise in the treatment of fibromyalgia syndrome. There are also inconclusive results about the efficacy of cognitive-behavioural treatment because of limited number of studies with small sample sizes of patients with fibromyalgia syndrome. However, the results of the trials overall demonstrate the beneficial effects of both different types of exercise and cognitive-behavioural treatment, on the other hand, there is still a need for larger, more systematic and randomised controlled trials to evaluate the effectiveness.