The study, conducted by the Sapienza University of Rome and presented at the European Congress of Urology, involved a group of 40 men ages 19 to 46 who had premature ejaculation - defined as "ejaculation within a minute".
The men involved in the study had suffered from lifelong premature ejaculation and had all tried a variety of other therapies, without any significant improvement.
At the start of the trial the average ejaculation time of the participants was 31.7 seconds.
During the 12-week study period, the men were trained to exercise their pelvic floor muscles and the time taken for them to reach orgasm was measured.
By the end of the 12-weeks of pelvic floor exercises, participants reported that their sex lives and confidence had improved - the average time taken to orgasm being four times longer, rising to 146.2 seconds.
Study leader Dr. Antonio Pastore said: "This is a small study, so the effects need to be verified in a bigger trial. Nevertheless, the results are very positive. The rehabilitation exercises are easy to perform, with no reported adverse effects.
"Previously the men in the trial had tried a variety of treatments, including creams, behavioral therapy, antidepressants and psychological treatments - with little success. However, we found that 33 of the 40 men in our trial improved their ejaculation time within 12 weeks. We also found that the fact that the men were able to improve their sex-lives through their own efforts helped their self-confidence."