Background: To our knowledge, no other systematic review comprehensively demonstrated the effectiveness of exercise and conventional physiotherapy in lumbar spinal stenosis (LSS). Aims: The purpose of the present systematic review was to provide a comprehensive review of exercise therapy on LSS. Methods: A literature search was carried out in the following databases on October 2021: PubMed, Scopus, ScienceDirect, Cochrane Library, and Web of Science (WoS) database. The study quality assessment was independently determined according to the PEDro scores by two reviewers. A narrative synthesis was used to synthesize the data of the compiled studies and express their results. Results: Records identified through database searching; PubMed (n = 352), Web of Science (n = 180), Science Direct (n = 2801), Cochrane Library (n = 423) and Scopus (n = 12). A total of 3768 papers were screened. Studies unrelated to the question, another study language, undesired study design, duplicate articles, undesired intervention, undesired sample feature (n = 3757) were excluded. An analysis was conducted on the full text of 11 journals. The vast majority (90.9%) of articles received a PEDro score of 6–8 (“good”). The mean PEDro score of the studies was 6.8 ± 1.5 (min:1, max:8). Four of the studies (36.3%) focused on neurogenic claudication in the LSS. Other studies have focused on LSS due to various causes (e.g., degenerative). Conclusions: The review results showed that supervised exercise was more effective in LSS than self-management or home exercise. In addition, core stabilization, aqua therapy or aerobic (e.g., treadmill, cycling) exercises can be advantageous in different parameters.