Background: Sedentary lifestyles are increasingly common amongst children, and insufficient physical activity is a global epidemic estimated to contribute to future incapacities and potential deaths. Objective: We aimed to increase the amount of evidence concerning the effect of chronic exposure to exercise on heart rate variability in children and adolescents affected by obesity. Methods: A systematic review commenced following the PRISMA guidelines developed by Web of Science, Virtual Health Library, PubMed, Cochrane Library, Embase, Ovid, Medline Complete, and Scopus using keywords obtained from the Descriptors in Health Sciences and Medical Subject Headlines (MeSH) terms. We considered (1) Population: Pediatric individuals affected by obesity; (2) Intervention: Exercise; (3) Control: Pre-intervention and sedentary; (4) Outcomes: Clearly presented primary parameters; and (5) Studies: Clinical trials, case controls, case reports, and case series. Results: 11 articles were involved and predominantly included procedures observed during approximately 12 weeks with a distribution of three sessions per week, each session being 30–60 min of aerobic exercise; additionally, the exercise grades were typically completed at a percentage of subjects’ maximum heart rates. The meta-analyses displayed a significant effect on the domains of time (R-R interval, SDNN, rMSSD), frequency (HF ms2, HF (n.u.), LF/HF), and the non-linear index (SD1). Conclusions: Chronic exposure to exercise influences heart rate variability in children and adolescents affected by obesity by elevating the variability and parasympathetic activity and improving the sympathetic-vagal balance. Exercises should be recommended for the improvement of cardiac autonomic modulation to prevent the likelihood of further chronic diseases.