Whether an exercise intervention has significant effects on improving the sleep quality in perimenopausal women is controversial. This review explores different ways of exercise interventions (intervention item, intervention period, intervention frequency, and intervention duration of each time) on the improvement of sleep in perimenopausal women. Based on the PICOS method, two researchers independently searched the PubMed database, Excerpta Medica (EMBASE), Cochrane Library database, Web of Science (WoS) database, Chinese National Knowledge Infrastructure (CNKI) database, Wanfang database and VIP database, evaluated the literature quality using the Cochrane system evaluation manual, and performed a meta-analysis of the included literature. A total of 12 randomized controlled trials involving 1493 subjects were included in the study. Exercise intervention items included yoga, walking, fitness Qigong, and aerobic exercise. The meta-analysis showed that exercise could effectively improve sleep in perimenopausal women (SMD = -0.44, 95%CI (-0.66, -0.22), P < 0.00001), and had significant effects on the sleep quality and insomnia symptoms in perimenopausal women. Subgroup analysis showed that fitness Qigong with a period of 10 to 12 weeks, a frequency of more than 3 times a week, and a duration of each time of 30 to 60 minutes was the most effective in improving sleep.