Background: Exercise has the potential to improve physical function and quality of life in individuals with bone metastases but is often avoided due to safety concerns. This systematic review summarizes the safety, feasibility and efficacy of exercise in controlled trials that include individuals with bone metastases. Methods: MEDLINE, Embase, Pubmed, CINAHL, PEDro and CENTRAL databases were searched to July 16, 2020. Results: A total of 17 trials were included incorporating aerobic exercise, resistance exercise or soccer interventions. Few (n = 4, 0.5%) serious adverse events were attributed to exercise participation, with none related to bone metastases. Mixed efficacy results were found, with exercise eliciting positive changes or no change. The majority of trials included an element of supervised exercise instruction (n = 16, 94%) and were delivered by qualified exercise professionals (n = 13, 76%). Conclusions: Exercise appears safe and feasible for individuals with bone metastases when it includes an element of supervised exercise instruction.