The aim of this review was to recommend training strategies that improve the functional capacity in physically frail older adults based on scientific literature, focusing specially in supervised exercise programs that improved muscle strength, fall risk, balance, and gait ability. Scielo, Science Citation Index, MEDLINE, Scopus, Sport Discus, and ScienceDirect databases were searched from 1990 to 2012. Studies must have mentioned the effects of exercise training on at least one of the following four parameters: Incidence of falls, gait, balance, and lower-body strength. Twenty studies that investigated the effects of multi-component exercise training (10), resistance training (6), endurance training (1), and balance training (3) were included in the present revision. Ten trials investigated the effects of exercise on the incidence of falls in elderly with physical frailty. Seven of them have found a fewer falls incidence after physical training when compared with the control group. Eleven trials investigated the effects of exercise intervention on the gait ability. Six of them showed enhancements in the gait ability. Ten trials investigated the effects of exercise intervention on the balance performance and seven of them demonstrated enhanced balance. Thirteen trials investigated the effects of exercise intervention on the muscle strength and nine of them showed increases in the muscle strength. The multi-component exercise intervention composed by strength, endurance and balance training seems to be the best strategy to improve rate of falls, gait ability, balance, and strength performance in physically frail older adults.