Objective: To evaluate the effect of exercise (EXE) alone or exercise combined with dietary supplements (EXE-SUPPL) on body composition and physical performance in subjects 60 years and older with sarcopenic obesity. Methods: A systematic review was carried out of studies identified through five search engines up to April 15, 2018. We searched for randomized controlled trials (RCTs) evaluating EXE or EXE-SUPPL in elderly individuals with sarcopenic obesity for at least six weeks. Primary outcomes were percentage of body fat mass, appendicular skeletal muscle mass, and hand grip strength. Random effects meta-analyses with the inverse variance method were used to evaluate the effects of interventions on outcomes. Effects were expressed as mean differences (MD) and their 95% confidence intervals (CI). Risk of bias was assessed with the Cochrane tool. Results: Nine papers reporting seven RCTs (with a total of 558 participants) were included in the review. EXE alone and EXE-SUPPL increased grip strength (MD 1.30 kg; 95% CI 0.58–2.01), gait speed (MD 0.05 m/s; 95% CI 0.03–0.07) and appendicular skeletal muscle mass (MD 0.40 kg; 95% CI 0.18–0.63). EXE alone and EXE-SUPPL reduced waist circumference (MD −1,40 cm; 95% CI −1.99 to −0.81), total fat mass (MD −1,77 kg; 95% CI −2.49 to −1.04), and trunk fat mass (MD −0.82 kg; 95% CI −1.22 to −0.42). Conclusion: EXE alone and EXE-SUPPL improved muscle-related outcomes and reduced fat-related outcomes in subjects with sarcopenic obesity. There is a need for better-designed RCTs with systematic assessment of both different exercise regimes and dietary supplements in sarcopenic obese subjects.