Physical activity (PA) combats the effects of multimorbidity and antiretroviral therapy in people living with HIV (PLWH), but PLWH often don't meet recommended PA guidelines. The purpose of our review was to investigate whether supervised PA improved functional capacity in PLWH. Preferred Reporting Items for Systematic Reviews and Meta-Analyses were followed. Five databases were searched for randomized controlled trials in English, with participants ages 18 years and older, and a supervised PA intervention. A database search yielded 8,267 articles, with 15 eligible for review inclusion. We found a low risk of bias within and across studies. Combined aerobic/progressive resistance training (PRT) improved strength, cardiovascular, and flexibility outcomes; aerobic interventions alone showed no significant improvements; PRT improved strength outcomes; yoga or yoga/meditation showed no outcome differences; and t'ai chi showed cardiovascular and flexibility improvements. We found that supervised PA increased functional capacity in PLWH and that self-report was not a reliable assessment.