Exercise is often recommended for fibromyalgia. The aim of this study was to investigate the possible influence and change in the pain characteristics of fibromyalgia patients when breathing exercises were added to their exercise program. A total of 106 patients were included and randomly divided into two groups. Τhe first group of patients followed a program of active exercises up to the limits of pain, lasting 30 min with a repetition of two times a week. Patients of the second group followed the same program with the addition of diaphragmatic breaths when they reached the pain limit. The patients completed three questionnaires: the Fibromyalgia Rapid Screening Tool (FiRST), the Brief Pain Inventory (BPI), and the Pain Quality Assessment Scale (PQAS)—once at the beginning, once again after three weeks of exercise, and again 3 months since the beginning of the program. Independent t-tests for the mean total change scores in pain scales demonstrated that for the second group there was a greater improvement in all pain scales, except for the PQAS Deep Pain subscale (p = 0.38). In conclusion, both groups showed significant improvement in all characteristics of the pain scales; however, the improvement of the second group was significantly higher.