Current hypotheses of the etiology of fibromyalgia (FM) include inflammatory disorders. We evaluated the effect of a pool-aquatic exercise program (8 months, two weekly 60-min sessions) on the inflammatory cytokine production by isolated monocytes, and on the serum concentration of C-reactive protein (CRP), in a group of female FM patients. Monocytes from FM patients released more IL-1β, TNFα, IL-6, and IL-10 than those from an age-matched control group of healthy women (HW). This inflammatory disorder in FM women was also manifested by high circulating concentrations of CRP. Increased IL-6 with a concomitant decreased TNFα spontaneous release was found after 4 months (midway through) of the exercise program. At the end of the program (8 months), monocytes from FM patients showed diminished spontaneous production of pro-/anti-inflammatory cytokines, with a similar spontaneous release of IL-1β and IL-6 to that of HW, but a lower production of TNFα and higher of IL-10. Lipopolysaccharide-induced production of IL-1β, TNFα, IL-6, and IL-10 also decreased at the end of the exercise program, although IL-10 remained higher than HW. The anti-inflammatory effect of the exercise program was also corroborated by a decrease in the circulating CRP concentration. Exercise also improved the health-related quality of life of FM patients.