There is no curative treatment for most neuromuscular disorders. Exercise, as a treatment for these diseases, has therefore received growing attention. When executed properly, exercise can maintain and improve health and reduce the risk of cardiovascular disease, obesity, and diabetes. In persons with muscle wasting due to neuromuscular conditions, however, a common belief has been that physical activity could accelerate degeneration of the diseased muscle and a careful approach to training has therefore been suggested. In this review, we describe the current knowledge about physical training in patients with neuromuscular diseases associated with weakness and wasting. We review studies that have investigated different types of exercise in both myopathies and motor neuron diseases, with particular emphasis on training of persons affected by spinobulbar muscular atrophy (SBMA). Finally, we provide suggestions for future investigations of training in this condition.