This systematic review and meta-analysis aimed to examine the effects of physical exercise cum cognitive-behavioural therapy (CBT) on alleviating pain intensity, functional disabilities, and mood/mental symptoms in those suffering with chronic musculoskeletal pain. MEDLINE, EMBASE, PubMEd, PsycINFO and CINAHL were searched to identify relevant randomised controlled trials from inception to 31 December 2018. The inclusion criteria were: (a) adults ≥18 years old with chronic musculoskeletal pain ≥3 months, (b) randomised controlled design, (c) a treatment arm consisting of physical intervention and CBT combined, (d) the comparison arm being waitlist, usual care or other non-pharmacological interventions such as physical exercise or CBT alone, and (e) outcomes including pain intensity, pain-related functional disabilities (primary outcomes), or mood/mental symptoms (secondary outcome). The exclusion criteria were: (a) the presence of comorbid mental illnesses other than depression and anxiety and (b) non-English publication. The search resulted in 1696 records and 18 articles were selected for review. Results varied greatly across studies, with most studies reporting null or small effects but a few studies reporting very large effects up to 2-year follow-up. Pooled effect sizes (Hedges' g) were ~1.00 for pain intensity and functional disability, but no effect was found for mood/mental symptoms. The effects were mainly driven by several studies reporting unusually large differences between the exercise cum CBT intervention and exercise alone. When these outliers were removed, the effect on pain intensity disappeared at post-intervention while a weak effect (g = 0.21) favouring the combined intervention remained at follow-up assessment. More consistent effects were observed for functional disability, though the effects were small (g = 0.26 and 0.37 at post-intervention and follow-up respectively). More importantly, the value of adding CBT to exercise interventions is questionable, as consistent benefits were not seen. The clinical implications and directions for future research are discussed.