Question What is the effect of a six-month, supervised, aerobic and resistance exercise program on self-efficacy in men living with human immunodeficiency virus (HIV)? Design Randomised, controlled trial. Participants 40 (5 dropouts) men living with HIV, aged 18 years or older. Intervention The experimental group participated in a twice-weekly supervised aerobic and resistance exercise program for six months and the control group participated in a twice-weekly unsupervised walking program and attended a monthly group forum. Outcome measures The primary outcome measure was self-efficacy using the General Self-Efficacy Scale. Secondary outcome measures were cardiovascular fitness using the Kasch Pulse Recovery test, and health-related quality of life using the Medical Outcomes Study HIV Health Survey. Measures were taken by an assessor blinded to group allocation. Results By six months, the experimental group had improved their self-efficacy by 6.8 points (95% CI 3.9 to 9.7, p < 0.001) and improved their cardiovascular fitness by reducing their heart rate by 20.2 bpm (95% CI -25.8 to -14.6, p < 0.001) more than the control group. Health-related quality of life improved in only two out of the eleven dimensions: the experimental group improved their overall health by 20.8 points (95% CI 2.0 to 39.7, p = 0.03) and their cognitive function by 14 points (95% CI 0.7 to 27.3, p = 0.04) more than the control group. Conclusion The findings of this study add to the known benefits of exercise for the HIV-infected population.