To establish the feasibility of a comprehensive exercise program (PEP) a pilot study was conducted on 7 children with asthma (8 to 13 years). The program was comprised of regular group exercises and home exercises for a period of 3 months. It was based on a theoretical model describing the relationships between physical competence, perceived physical competence, self-esteem, and coping behavior. The results showed that after the program, the children’s heart rate response had improved significantly at a workload of 60 W. Although exercise indices, such as endurance time at treadmill running and maximum workload on a cycle ergometer, had improved too, they were not significant. Further, the training had a positive and significant effect on the children’s expectations of physical competence in sports and on coping with asthma. As expected, no significant changes of lung function indices were found. In conclusion, our approach seemed to be feasible, especially for coping and perceived competence in children with asthma.