Objective Although survival rates in childhood cancer have improved, prevention and reduction of late effects remain important. This study evaluates the effects of a combined physical exercise and psychosocial intervention on health‐related quality of life (HrQoL) and psychosocial functioning in childhood cancer patients. Methods In this multicenter randomized controlled trial, cancer patients (aged 8–18 years) and their parents filled in questionnaires on HrQoL, depressive symptoms, behavioral problems, and self‐esteem. Measurements were conducted at baseline, shortly after the 12‐week intervention period and 12 months after baseline. Generalized estimating equations analyses were performed to assess short‐term and long‐term psychosocial effects. Results Of the 174 eligible patients, 68 (39.1%) participated. The intervention group consisted of 30 participants at baseline [mean age 13.0 (SD 3.0) years; 53% male], 26 at short‐term and 22 at long‐term follow‐up. The ‘care as usual’ control group consisted of 38 participants at baseline [mean age 12.6 (SD 3.1) years; 53% male], 33 at short‐term and 31 at long‐term follow‐up. Overall, the intervention did not improve psychosocial functioning and HrQoL. According to parent‐proxy reports, the intervention leads to a greater improvement on pain‐related HrQoL on both the short (β = 13.4; 95% CI: 3.0; 23.8) and long term (β = 13.0; 95% CI: 1.6; 24.4) and to greater improvement on procedural anxiety immediately after the intervention (β = 12.6; 95% CI: 1.9; 23.3). Conclusion A combined physical and psychosocial training for children with cancer did not have effects on HrQoL or psychosocial functioning, with exception of modest positive effects on parent‐reported pain and procedural anxiety Copyright © 2015 John Wiley & Sons, Ltd.