Hematological malignancies and thrombocytopenia often lead to compromised health and quality of life. Physical exercise has been proposed as an intervention to improve various health outcomes, but its impact on pain, functional outcomes, and health-related quality of life (HRQoL) in these patient populations remains underexplored. This scoping review aims to map the existing literature on the effects of physical exercise on pain management, functional outcomes, and HRQoL among patients with hematological malignancies and thrombocytopenia. A comprehensive search was conducted across multiple databases, including PubMed, Scopus, and Web of Science, for studies published from 2010 to 2024. The search included keywords related to physical exercise, pain, functional outcomes, HRQoL, thrombocytopenia, and hematological malignancies. Studies were included if they addressed physical exercise interventions and reported on pain, functional outcomes, or HRQoL. Preliminary findings indicate a varied impact of physical exercise on the outcomes of interest. Some studies report improvements in pain management and functional outcomes, while others highlight limited or mixed effects. The influence on HRQoL also appears heterogeneous, with some evidence suggesting potential benefits. Physical exercise may offer potential benefits for managing pain and improving functional outcomes and HRQoL among patients with hematological malignancies and thrombocytopenia. However, the current literature is heterogeneous, and further research is needed to establish more definitive conclusions and refine exercise interventions for these patients.