Insomnia treatment among individuals with comorbid insomnia and obstructive sleep apnea is suboptimal. In a pilot randomized controlled trial, 19 individuals with comorbid insomnia and obstructive sleep apnea were allocated to one of two arms: EX + EX, consisting of two 8-week phases of exercise training (EX), or RE + CBTiEX, encompassing 8 weeks of relaxation training (RE) followed by 8 weeks of combined cognitive-behavioral therapy and exercise (CBTiEX). Outcomes included Insomnia Severity Index (ISI), polysomnography, and cardiorespiratory fitness measures. A mixed-model analysis of variance revealed a Group × Time interaction on peak oxygen consumption change, F(1, 14) = 10.1, p = .007, and EX increased peak oxygen consumption (p = .03, g′ = −0.41) and reduced ISI (p = .001, g′ = 0.82) compared with RE (p = .49, g = 0.16) post-8 weeks. Post-16 weeks, there was a significant Group × Time interaction (p = .014) driven by RE + CBTiEX yielding a larger improvement in ISI (p = .023, g′ = 1.48) than EX + EX (p = .88, g′ < 0.1). Objective sleep was unchanged. This study showed promising effects of regular EX alone and combined with cognitive-behavioral therapy for insomnia on ISI in comorbid insomnia and obstructive sleep apnea.