To systematically review randomized controlled trials that compared the effectiveness of different types of exercise on the symptom of fatigue in individuals with chronic obstructive pulmonary disease (COPD). MEDLINE, EMBASE, EMcare, PsychINFO, and Cochrane library were searched from inception to October 2018. Studies were included if individuals with COPD were randomized into two or more physical exercise interventions that reported fatigue. Of the 395 full-texts reviewed, 17 studies were included. Fifteen studies reported the impact of exercise on health-related quality of life with fatigue as a subdomain. Reduction in fatigue was observed following endurance, resistance, or a combination of both exercises. There was no significant difference between continuous and interval training ( n = 3 studies, pooled standardized mean difference (SMD) = −0.17, 95% CI = −0.47, 0.12, p = 0.25) or between endurance and resistance training ( n = 3 studies, SMD = −0.35, 95% CI = −0.72, 0.01, p = 0.07) on fatigue in people with COPD. Fatigue reduction is not usually a primary outcome of exercise interventions, but it is frequently a secondary domain. The type of exercise did not influence the impact of exercise on fatigue, which was reduced in endurance, resistance, or a combination of both exercises, enabling clinicians to personalize training to match targeted outcomes.