Of the various conservative treatment modalities available for temporomandibular disorders, we believe that therapeutic exercise has a good prognosis, especially for anterior disc displacement without reduction. Since its effectiveness has not been extensively evaluated, we conducted a comparative study to verify the hypothesis that treatment efficacy would not differ for exercise and occlusal splints. Fifty-two individuals with anterior disc displacement without reduction were randomly assigned to a splint or a joint mobilization self-exercise treatment group. Four outcome variables were evaluated: (i) maximum mouth-opening range without and (ii) with pain, (iii) current maximum daily pain intensity, and (iv) limitation of daily functions. All outcome variables significantly improved after 8 weeks of treatment in both groups. In particular, the mouth opening range increased more in the exercise group than in the splint group. This result demonstrates that therapeutic exercise brings earlier recovery of jaw function compared with splints.