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Purpose Androgen deprivation therapy (ADT) is a treatment used in men with prostate cancer (PCa); however it is responsible for many adverse effects, with negative impact on quality of life. ADT causes loss of bone mineral density (BMD) and skeletal muscle mass, alteration of body composition, and cognitive function, which altogether lead to increased risk of accidental falls and fractures. This systematic review analyses the effectiveness of physical exercise (PE) in preventing accidental falls and fractures and reducing the loss of BMD in men with PCa receiving ADT. Methods We searched MEDLINE, EMBASE, CINAHL, and the Cochrane Library for articles between database inception and September 2, 2020. Eligible studies included randomized controlled trials (RCTs) investigating the effects of exercise on bone health in men with PCa receiving ADT. Results Nine RCTs were included. Experimental PE consisted in multicomponent programmes that involved aerobic, resistance, impact-loading exercise, and football training. None of the RCTs investigated the risk of accidental falls and fractures, while two trials reported beneficial effects of PE on lumbar spine, hip, and femoral shaft BMD. No further significant difference was detected in the outcomes investigated. Conclusion Evidence of the effectiveness of PE to prevent the risk of accidental falls and fractures and BMD loss is lacking. Nevertheless, clinical guidelines recommend PE as a part of the clinical management of men with PCa receiving ADT due to its known numerous health benefits. Research should focus on PE strategies to prevent accidental falls, a clinically relevant outcome in this vulnerable population. Trial registration The study protocol was registered with International Prospective Register of Systematic Reviews (PROSPERO, number CRD 42020158444) on 04/28/2020. Electronic supplementary material The online version of this article (10.1007/s00520-020-05830-1) contains supplementary material, which is available to authorized users.