Objectives: This study aims to identify the effectiveness of exercise in chronic tension-type headache and chronic migraine. Methods: The PICOS (Population, Intervention, Comparator, Outcomes, Study design) strategy was followed, where P—patients with chronic tension-type headache or chronic migraine; I—exercise; C—conventional treatment; O—pain reduction; and S—RCTs (randomized controlled trials) and quasi-experimental trials. Studies with a high risk of bias according to the RoB 2 (Risk of Bias) scale and with a score < 6 according to the PEDro (Physiotherapy Evidence Database) scale were excluded. The PRISMA (Preferred Reporting Items for Systematic Reviews and Meta-Analyses) statement was followed. The databases Pubmed, Web of Science, and Scopus were searched in November 2024. The PEDro and RoB2 scales were used to assess the risk of bias and internal validity of the studies. The results were synthesized qualitatively. Results: Ten studies with a total sample of 848 subjects were analyzed, comparing therapeutic interventions with an exercise versus conventional treatment. In most of the studies, the exercise group significantly outperformed the control group in pain reduction. Discussion: The findings suggest that exercise improves central pain modulation and reinforces the potential of body strategies such as postural integration. The main limitations found were the limited evidence on exercise’s role in chronic tension-type headache or migraine and the risk of bias due to the difficulty of blinding patients, therapists, and evaluators. Conclusions: The studies analyzed have shown that exercise could be an effective strategy to support the management of chronic tension-type headache and migraine.