A dumbbell fly is an exercise for your upper body. To allow your elbows to move behind your torso, you should do the exercise on a bench. A dumbbell fly will primarily work muscles in your chest and shoulders; however, it will have some strengthening effect on other muscles in your back and arms as well. A dumbbell fly also targets the muscles in your chest. Both your pectoralis minor and major work hard when you are doing a dumbbell fly.