Objective:  This study assessed the effects of an aquatic respiratory exercise‐based program in patients with fibromyalgia (FMS). Methods:  Forty women, aged between 20 and 60 years, were randomly assigned into two groups of 20 patients: the aquatic respiratory exercise‐based program (ARG) and the control group (CTL). The ARG group performed the exercise program for 1 h, four times a week, for 4 weeks which included: (i) warming‐up; (ii) respiratory exercises, consisting of five different breathing patterns, along with upper, lower limbs and trunk movements (45 min); and (iii) relaxation exercises. Both groups were included in supervised recreational activities of 1 h, once a week, for 4 weeks. Questionnaires were applied before and after intervention to assess quality of life and functional capacity (SF‐36, Fibromyalgia Impact Questionnaire [FIQ]), anxiety (Hamilton Anxiety Scale [HAS]), and quality of sleep (Pittsburg Sleep Quality Index [PSQI]). Number of tender points and pain (Visual Analogue Scale [VAS]) were also evaluated. Results:  At baseline there was no difference between the two groups, including number of tender points and questionnaire responses. After intervention, the ARG group, compared with the CTL group, showed improvement in SF‐36 scores (physical functioning P = 0.001, bodily pain P = 0.001, vitality P = 0.009, social functioning P = 0.001, emotional role P = 0.001), in FIQ (total score P = 0.049, work missed P = 0.036, fatigue P = 0.013, morning tiredness P = 0.007) plus in VAS‐pain (P = 0.029), VAS‐dyspnea (P = 0.04), anxiety (HAS P = 0.005) and quality of sleep (PSQI P = 0.004). Conclusions:  The short‐term aquatic respiratory exercise‐based program improved pain, quality of life, functional capacity, anxiety and quality of sleep in patients with FMS and may be a relevant addition to the treatment of these patients.