The aim of this study was to compare the sleep quality, depression, anxiety, and autonomic function of a group of kidney-transplanted recipients who joined a combined exercise program (KTR_t) or remained sedentary (KTR_s). A total of 20 kidney-transplanted recipients, split into two groups (10 KTR_t and 10 KTR_s), joined the study. Heart rate variability, cardiorespiratory capacity, depression, and sleep questionnaires were evaluated. KTR_t presented lower Pittsburgh Sleep Quality Index and greater entropy, and increased parasympathetic and decreased sympathetic modulation than KTR_s. Anxiety level was minimal and depression was absent in both groups. KTR_t group presented better sleep quality and better autonomic modulation than KTR_s.