Fibromyalgia (FM) is one of the most common rheumatic diseases (conditions or disorders that cause pain or stiffness in the joints, muscles, or bones). It affects 6 million Americans and up to 20 percent of patients seen by doctors who specialize in treating rheumatic diseases. This study will evaluate the effects of two of the most promising nondrug treatments for FM: coping skills training and physical exercise training. We will randomly assign each of 180 patients diagnosed with FM to one of four groups: coping skills training (CST), physical exercise training alone, CST plus physical exercise training, or a waiting list (nontreatment group). We will look at the separate and combined effects of CST and physical exercise training and evaluate how changes in aerobic fitness, self-effectiveness (a person's belief in his or her ability to reach a goal, such as managing one's own disease), and negative pain-related thoughts relate to improvements in pain and disability.