This pilot study examined whether exercise as an adjunctive rehabilitation therapy could benefit women who have early stage breast cancer and are currently receiving chemotherapy/radiotherapy. The study was designed as a randomised controlled trial (RCT). Physical functioning, fatigue and Quality of Life (QoL) outcomes were evaluated pre and post a 12-week intervention. The results showed that after 12 weeks the women who participated in the exercise programme (n = 12) displayed significantly higher levels of physical functioning and reported higher QoL scores than the controls (n = 10). Changes in fatigue and satisfaction with life favoured the intervention group but did not reach significance. These results are encouraging and suggest that a structured group exercise programme during adjuvant treatment is a safe, well tolerated and effective way of providing physical and psychological health benefits to women during treatment for early stage breast cancer. Since this was a pilot study the numbers did not allow appropriately powered analyses of some variables of interest and favoured relatively young and socio-economically advantaged women. Future studies need to address these issues and determine if these short-term benefits can be sustained.