Chronic respiratory diseases (CRD) are characterized by exertional dyspnoea, exercise limitation and reduced health‐related quality of life (QoL). Exercise training is essential for improving symptoms, physical function and QoL. Current research available supports the effectiveness of exercise training in patients with chronic obstructive pulmonary disease (COPD), cystic fibrosis and interstitial lung disease (ILD). However, recent studies have also shown safety and effectiveness of exercise training in patients with pulmonary arterial hypertension (PAH) and asthma. Despite the lack of clinical guidelines for exercise training in PAH, a recent Cochrane review has reported improvements in functional capacity and effective reductions in mean pulmonary arterial pressure. In the other CRD, a number of Cochrane reviews, supported by numerous randomized controlled trials, have been published outlining the benefits of different types of exercise training. The aim of this review is to establish the principles and modalities of personalized exercise training and the effects of exercise training across a number of CRD. In addition, this review provides information on personalized exercise prescription for CRD patients with co‐morbidities.