Previous research has proposed a range of support interventions to mitigate the adverse impact of caregiving on the daily life of caregivers of relatives with dementia. However, the effectiveness of these interventions shows a high variability. Informal caregivers usually lack the time and/or live too far from conventional facilities to do physical exercise, especially those who live in rural areas. Thus, home-based interventions may be more efficacious due to their greater convenience for this population. The present work proposes and describes a study protocol for a randomized control trial that will analyze the efficacy and cost-effectiveness of a home-based, structured individual physical exercise intervention to improve the health-related quality of life and the mental health of female informal caregivers of relatives with dementia. The nine-month-long intervention will comprise participation in two supervised physical exercise sessions per week at the caregiver's home. The proposed study outcomes will be: (1) feasibility of and adherence to the home-based provision of the intervention; (2) improvement in physical fitness and quality of life; and (3) reduction in subjective burden, psychological symptomatology and depression. Analyses will also be performed to determine the cost-effectiveness after the intervention. In conclusion, this intervention might thus represent a tailored and feasible strategy to help caregivers cope with the physical and psychological stress resulting from caregiving-related responsibilities, and it could represent a novel cost-effective support home-based intervention for caregivers.