Fatigue is the most prevalent and debilitating symptom experienced by breast cancer patients receiving adjuvant chemotherapy or radiation therapy and few evidence-based treatments are available to manage this distressing side-effect. The purpose of this multi-institutional randomized controlled trial was to determine the effects of exercise on fatigue levels during treatment for breast cancer. Sedentary women (N=119) with Stage 0–III breast cancer receiving outpatient adjuvant chemotherapy or radiation therapy were randomized to a home-based moderate-intensity walking exercise program or to usual care for the duration of their cancer treatment. Of participants randomized to exercise, 72% adhered to the exercise prescription; 61% of the usual care group adhered. The intention-to-treat analysis revealed no group differences in part because of a dilution of treatment effect as 39% of the usual care group exercised and 28% of the exercise group did not. When exercise participation was considered using the data analysis method of instrumental variables with principal stratification, a clinically important and statistically significant (p=0.03) effect of exercise on pretest-to-posttest change in fatigue levels was demonstrated. Adherence to a home-based moderate-intensity walking exercise program may effectively mitigate the high levels of fatigue prevalent during cancer treatment. Copyright © 2004 John Wiley & Sons, Ltd.