Background: Exercise may reduce anxiety and depression associated to the diagnosis and treatment of cancer. Aim: To assess the effects of a physical training program during chemotherapy among women with breast cancer. Patients and Methods: Twenty two women aged 49 ± 7 years with breast cancer voluntarily agreed to take part in the study, after surgical treatment. Functional capacity (Karnofsky Performance Status), psychological status (General Health Questionnaire, GHQ) and quality of life (EORTC QLQ-C30) were evaluated at baseline and at the end of the study. Before beginning with adjuvant chemotherapy, ten women were randomly assigned to a program of physical exercise and seven to a control group. The program lasted 18 to 22 weeks, depending on the duration of chemotherapy. Results: Five women were lost from follow up. Before starting chemotherapy, 41% of women were working and all had to kit. At baseline all had a normal Karnofski score and quality of life was compromised. At the end of the study, the intervention group had an improvement of their quality of life, compared to the control group that did not experience significant changes. Conclusions: An exercise training program improves quality of life of women with breast cancer on chemotherapy.