Abstract Background Exercise may improve fatigue in multiple myeloma survivors, but trial evidence is limited, and exercise may be perceived as risky in this older patient group with osteolytic bone destruction. Methods In this Phase 2 Zelen trial, multiple myeloma survivors who had completed treatment at least 6 weeks ago, or were on maintenance only, were enrolled in a cohort study and randomly assigned to usual care or a 6-month exercise programme of tailored aerobic and resistance training. Outcome assessors and usual care participants were masked. The primary outcome was the FACIT-F fatigue score with higher scores denoting less fatigue. Results During 2014–2016, 131 participants were randomised 3:1 to intervention (n = 89) or usual care (n = 42) to allow for patients declining allocation to the exercise arm. There was no difference between groups in fatigue at 3 months (between-group mean difference: 1.6 [95% CI: −1.1–4.3]) or 6 months (0.3 [95% CI: −2.6–3.1]). Muscle strength improved at 3 months (8.4 kg [95% CI: 0.5–16.3]) and 6 months (10.8 kg [95% CI: 1.2–20.5]). Using per-protocol analysis, cardiovascular fitness improved at 3 months (+1.2 ml/kg/min [95% CI: 0.3–3.7]). In participants with clinical fatigue (n = 17), there was a trend towards less fatigue with exercise over 6 months (6.3 [95% CI: −0.6–13.3]). There were no serious adverse events. Conclusions Exercise appeared safe and improved muscle strength and cardiovascular fitness, but benefits in fatigue appeared limited to participants with clinical fatigue at baseline. Future studies should focus on patients with clinical fatigue. Clinical trial registration The study was registered with ISRCTN (38480455) and is completed.