The authors of this study compared the effects of pilates exercises and connective tissue massage (CTM) on pain intensity; pain-pressure threshold; and tolerance, anxiety, progress, and health-related quality of life in females with fibromyalgia. It was a pilot, assessor masked, randomized controlled trial conducted between January and August of 2013. Twenty-one women with fibromyalgia were randomly assigned to the pilates exercise program (six of whom did not complete the program), and 22 were randomly assigned to CTM (one of whom did not complete this program). Each group received the assigned intervention three times per week during a 4-week period. The Visual Analogue Scale, algometry, State-Trait Anxiety Inventory, Fibromyalgia Impact Questionnaire, and Nottingham Health Profile were used at baseline and at the end of treatments. Significant improvements were found in both groups for all parameters. However, the scores for pain-pressure threshold were significantly elevated and the symptoms of anxiety were significantly diminished in the exercise group compared to the massage group. Thus, exercise and massage might be used to provide improvements in women with fibromyalgia. The exercise group showed more advantages than the massage group and thus might be preferred for patients with fibromyalgia. However, an adequately powered trial is required to determine this with certainty.