Reduced physical function caused by bone destruction, pain, anemia, infections, and weight loss is common in multiple myeloma (MM). Myeloma bone disease challenges physical exercise. Knowledge on the effects and safety of physical exercise in newly diagnosed patients with MM is limited. In a randomized, controlled trial, we studied the effect of a 10-week individualized physical exercise program on physical function, physical activity, lean body mass (LBM), bone mineral density (BMD), quality of life (QoL), and pain in patients newly diagnosed with MM. Lytic bone disease was assessed, and exercise was adjusted accordingly. Primary outcome: knee extension strength. Secondary outcomes: Six-Minute-Walk-Test, 30-s Sit-to-Stand-Test (SST), grip strength, level of physical activity, LBM, BMD, QoL, and pain. Measurements were conducted pre- and post-intervention, and after 6 and 12 months. We included 100 patients, 86 were evaluable; 44 in the intervention group (IG) and 42 in the control group (CG). No statistically significant differences between groups were observed. Knee extension strength declined in the IG (p = .02). SST, aerobic capacity, and global QoL improved in both groups. Pain decreased consistently in the IG regardless of pain outcome. No significant safety concerns of physical exercise in newly diagnosed patients with MM were observed.