Surgical treatment affects health-related quality of life (HRQoL) and increases fatigue symptoms in patients with lung cancer (LC) and colorectal cancer (CRC). We aimed to systematically review the effect of exercise training on HRQoL and fatigue after LC and CRC surgery. Randomized controlled trials published before 21 March 2021, were searched in PubMed, Scopus, Web of Science, SPORTDiscus and PEDro. Eligible trials compared the effect of exercise interventions initiated preoperatively or in the first 3 months after surgery versus usual care on postoperative HRQoL and fatigue. Standardized mean differences (SMD) were pooled using random-effects models. Twelve studies with a total of 777 patients were included. In LC patients (10 studies, n = 651), exercise training in general led to a moderate improvement in the physical domain of HRQoL (0.68: 95% CI: [0.47; 0.89]) and a small reduction in fatigue levels after surgery (SMD = 0.28: 95% CI: [0.02; 0.53]), while no effects were found in other HRQoL domains. In CRC (two studies, n = 126), exercise training showed no effects on HRQoL and fatigue after surgery. Exercise training is an effective intervention to improve physical function and fatigue after LC surgery. Further studies are necessary to clarify the effects of exercise on HRQoL and fatigue after CRC surgery.