Background: Androgen deprivation therapy (ADT) in men with prostate cancer (PCa) results in adverse effects, including reduced muscle strength and physical function, potentially compromising daily functioning. We examined whether it was more efficacious to commence exercise at the onset of ADT rather than later in treatment to counter declines in strength and physical function. Methods: One-hundred-and-four men with PCa (68.3 ± 7.0 years) initiating ADT were randomised to immediate exercise (IMX, n = 54) or delayed exercise (DEL, n = 50) for 12 months. IMX comprised 6 months of supervised resistance/aerobic/impact exercise initiated at the onset of ADT with a 6-month follow-up. DEL comprised 6 months of usual care followed by 6 months of resistance/aerobic/impact exercise. Upper and lower body muscle strength and physical function were assessed at baseline, 6 and 12 months. Results: There was a significant difference for all strength measures at 6 months favouring IMX (P < 0.001), with net differences in leg press, seated row and chest press strength of 19.9 kg (95% CI, 12.3–27.5 kg), 5.6 kg (3.8–7.4 kg) and 4.3 kg (2.7–5.8 kg), respectively. From 7 to 12 months, DEL increased in all strength measures (P < 0.001), with no differences between groups at 12 months. Similarly, physical function improved (P < 0.001) in IMX compared with DEL at 6 months for the 6-m fast walk (−0.2, 95% CI −0.3 to −0.1 s), 400-m walk (−9.7, −14.8 to −4.6 s), stair climb (−0.4, −0.6 to −0.2 s) and chair rise (−1.0, −1.4 to −0.7 s), with no differences between groups by 12 months, except for the 6-m fast walk (P < 0.001). Conclusion: Exercise either at the onset or after 6 months of ADT preserves/enhances muscle strength and physical function. However, to avoid initial treatment-related adverse effects on strength and function, exercise therapy should be implemented with initiation of ADT.