Exercise improves objective measures of physical function in individuals on hemodialysis, but its effect on patient‐reported outcomes (PROs) is largely unknown. We performed a scoping review to characterize the existing knowledge base on exercise and PROs in dialysis patients to make recommendations for future research. We searched Medline, Embase, Cochrane Database of Systematic Reviews; Cochrane Central Register of Controlled Trials, CINAHL, and SPORT Discus from inception to November 28, 2018 and then screened results for randomized controlled trials comparing aerobic/resistance exercise, or both, with no exercise in individuals on dialysis that reported results of any PRO. Of 1374 eligible studies, 25 studies met inclusion criteria. Study interventions included aerobic exercise (11 intradialytic and 3 home‐based trials); intradialytic resistance exercise (seven studies) and combined aerobic and resistance exercise (six intradialytic and one facility‐based trial). The PROs measured included health‐related quality of life (n = 19), depression (n = 6), anxiety (n = 3), symptom burden (n = 4), sleep quality (n = 2), restless legs syndrome (n = 2), disability (n = 2), and self‐reported physical activity level (n = 4). Only five studies included a PRO as a primary outcome. Studies primarily used broad/generic measures of health‐related quality of life and the effect of exercise on symptoms remains relatively unexplored, particularly in peritoneal dialysis populations. Although limited, the role of exercise in improving restless legs was consistent and is a promising outcome for future study. A critical step to improving the quality of the research on this topic includes the use of validated and consistent PRO measures.