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.