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Aim: This systematic review aimed to explore the literature to identify in which types of chronic diseases exercise with supplemental oxygen has previously been utilized and whether this type of personalized therapy leads to superior effects in physical fitness and well-being. Methods: Databases (PubMed/MEDLINE, CINHAL, EMBASE, Web of knowledge and Cochrane Library) were searched in accordance with PRISMA. Eligibility criteria included adult patients diagnosed with any type of chronic diseases engaging in supervised exercise training with supplemental oxygen compared to normoxia. A random-effects model was used to pool effect sizes by standardized mean differences (SMD). Results: Out of the identified 4038 studies, 12 articles were eligible. Eleven studies were conducted in chronic obstructive pulmonary disease (COPD), while one study included coronary artery disease (CAD) patients. No statistical differences were observed for markers of physical fitness and patient-reported outcomes on well-being between the two training conditions (SMD −0.10; 95% CI −0.27, 0.08; p = 0.26). Conclusions: We found that chronic exercise with supplemental oxygen has mainly been utilized for COPD patients. Moreover, no superior long-term adaptations on physical fitness, functional capacity or patient-reported well-being were found, questioning the role of this method as a personalized medicine approach. Prospero registration: CRD42018104649.