Purpose: To examine the feasibility and possible effect of an 8-week exercise program on sleep quality, insomnia and psychological distress in individuals with multiple sclerosis (MS). Methods: Twenty-four individuals with MS were recruited into a controlled pre-post feasibility study and divided into 2 groups: exercise (n = 13; Expanded Disability Status Scale (EDSS): 1.0–7.5) and a related control group with no exercise (n = 11; EDSS: 1.0–7.0). The exercise group performed combined upper limb, lower limb and breathing exercises in a controlled group (2d/week, 60 min/session) for 8 weeks. Participants were administered measures to evaluate sleep quality (Pittsburgh Sleep Quality Index, PSQI), insomnia severity (Insomnia Severity Index, ISI), psychological distress (Clinical Outcomes in Routine Evaluation–Outcome Measure, CORE-OM) and additionally impact of fatigue (Modified Fatigue Impact Scale, MFIS) after 8-weeks. Results: Insomnia severity measured with ISI (F(1;22)=5.95, p = 0.023, η p 2 = 0.213, 90% CI = 0.02–0.42) and psychological distress measured with the CORE-OM (F(1;22)=4.82, p = 0.039, η p 2 = 0.179, 90% CI = 0.01–0.40) showed statistically significant group-by-time interaction. Sleep quality measured with the PSQI showed statistically significant group-by-time interaction only in an aspect of daytime sleep dysfunction (F(1;22)=5.33, p = 0.031, η p 2 = 0.195, 90% CI = 0.01–0.40). The fatigue impact measured with the MFIS showed statistically significant group-by-time interaction in physical (F(1;22)=6.80, p = 0.016, η p 2 = 0.236, 90% CI = 0.02–0.44) and cognitive aspects (F(1;22)=9.12, p = 0.006, η p 2 = 0.293, 90% CI = 0.05–0.49), and total score (F(1;22)=11.29, p = 0.003, η p 2 = 0.339, 90% CI = 0.08–0.52). Conclusions: Our 8-week program reduced insomnia severity, psychological distress and some aspects of fatigue (physical; cognitive; total), and improved sleep quality in an aspect of daytime sleep dysfunction in a small group of individuals with MS. Good feasibility and significant positive changes from baseline warrant further exploratory work.