Although exercise may be used by some to decrease distress, little is known about how it may contribute to stress management (SM) among patients receiving chemotherapy. We evaluated whether exercise separately or in combination with SM training is effective at increasing perceived ability to manage stress. Patients receiving chemotherapy (N = 391) were randomized to receive usual care only (UCO), SM, exercise (EX), or stress management and exercise (SMEX). They completed the Measure of Current Status prior to receiving chemotherapy and 12 weeks after the first infusion. We hypothesized that participants randomized to an intervention condition would report improvements in relaxation, awareness of tension, getting needs met and coping confidence compared with those receiving UCO. Results indicated significant group-by-time interactions for the following: relaxation (UCO versus SM, p = 0.008), awareness of tension (UCO versus SMEX, p = 0.029 and UCO versus EX, p < 0.001), getting needs met (UCO versus SMEX, p = 0.020) and Measure of Current Status total score (UCO versus SMEX, p = 0.007 and UCO versus EX, p = 0.016). There were no group-by-time interactions for coping confidence (p-values >0.05). This study provides support for including an exercise component in SM interventions for cancer patients receiving chemotherapy (clinicaltrials.gov identifier: NCT00740038).