The frequency and severity of menopausal vasomotor symptoms negatively impact quality of life. This systematic review evaluates the potential of exercise to relieve the subjective frequency and severity of vasomotor symptoms. We searched four databases to identify randomized controlled trials (RCTs) that evaluated the effect of structured exercise (e.g. aerobic training) on the severity and/or frequency of vasomotor symptoms in menopausal women. Two reviewers independently screened records for eligibility, extracted data and assessed risks of bias and evidence certainty using the Cochrane tool and Grading of Recommendations Assessment, Development and Evaluation (GRADE). When suitable, data were pooled using random-effect meta-analyses. We appraised 21 RCTs involving 2884 participants. Compared to no-treatment control, exercise significantly improved severity of vasomotor symptoms (10 studies, standardized mean difference [SMD] = 0.25; 95% confidence interval [CI]: 0.04 to 0.47, p = 0.02, very low certainty of evidence); the effect size was attenuated when studies with a high risk of bias were excluded (SMD = 0.11, 95% CI: −0.03 to 0.26, p = 0.13). No significant changes in vasomotor frequency were found between exercise and control (SMD = 0.14, 95% CI: −0.03 to 0.31, p = 0.12, high certainty of evidence). In conclusion, exercise might improve vasomotor symptom severity. Future rigorous RCTs addressing the limitations of current review are warranted to explore the optimal exercise prescription principles to target the severity of vasomotor symptoms.