Pulmonary arterial hypertension (PAH) is characterized by reduced functional capacity and health-related quality of life. Despite the progress made in recent years in disease-targeted therapies with improvement in prognosis, PAH patients often experience progressive exercise intolerance. Exercise rehabilitation is beneficial and has become a standard of care in patients with systolic heart failure and chronic obstructive pulmonary disease. However, although PAH patients present with similar exertional limitation and often share common hemodynamic, ventilatory, and skeletal muscle derangements, exercise rehabilitation was discouraged in PAH patients because of concerns of clinical deterioration and adverse outcomes. In recent years, several small-scale studies have demonstrated that closely supervised and monitored exercise training programs may have potential benefits in the management of stable PAH patients, improving exercise capacity and quality of life, with an acceptable low risk of adverse events in the studied populations. This review describes the emerging clinical data supporting the efficacy and safety of exercise training in PAH patients. The review provides a perspective on the pathophysiological impairments contributing to exercise intolerance in these patients and critically project from the proven evidence-based benefits of cardiopulmonary rehabilitation in chronic heart failure and chronic obstructive pulmonary disease on the PAH population.