Background: Both exercise and polypills are recommended treatments to improve the blood-lipid profile. Objective: The aim of this study was to compare head-to-head the effectiveness of polypill and exercise strategies in improving the blood-lipid profile in high-risk cardiovascular patients. Methods: We performed an electronic search in Web of Science, EMBASE, Cochrane Database of Systematic Reviews, MEDLINE and SPORTDiscus, from inception to August 2021. Randomized controlled trials (RCTs) testing the effectiveness of exercise interventions or treatment with fixed-dose combination therapy (polypill) in improving the blood-lipid profile in adults with atherosclerotic cardiovascular disease or presenting at least one well recognized cardiovascular risk factor were included. Results: A total of 131 RCTs were included: 15 and 116 studies analyzing the effects of polypills and exercise, respectively, on blood-lipid levels. Both exercise and polypill strategies were effective in reducing low-density lipoprotein cholesterol (LDL-c) and total cholesterol (TC), but only exercise interventions improved high-density lipoprotein cholesterol (HDL-c) and triglyceride levels compared with the control group. The results of the network meta-analyses showed that the polypill without antiplatelet therapy was the most effective pharmacological treatment for improving the lipid profile, while aerobic interval exercise was the most effective exercise intervention. Conclusions: Considering that both polypills and exercise are effective in reducing LDL-c and TC but only exercise improves HDL-c and triglycerides, and that exercise provides further health benefits (e.g., increases in physical fitness and decreases in adiposity), it seems reasonable to recommend exercise as the first treatment option in dyslipidemia when the patient’s general condition and symptoms allow it. PROSPERO Registration Number: CRD42019122794.