Introduction. Patients with advanced-stage lung cancer face poor survival and experience co-occurring chronic physical and psychosocial symptoms. Despite several years of research in exercise oncology, few exercise studies have targeted advanced lung cancer patients undergoing chemotherapy. The aim of the present study was to investigate the benefits of a 6-week supervised group exercise intervention and to outline the effect on aerobic capacity, strength, health-related quality of life (HRQoL), anxiety, and depression. Methods. VO2peak was assessed using an incremental exercise test. Muscle strength was measured with one repetition maximum test (1RM). HRQoL, anxiety, and depression were assessed using Functional Assessment of Cancer Therapy–Lung (FACT-L) scale and the Hospital Anxiety and Depression Scale (HADS). Results. One hundred and forthteen patients with advanced stage lung cancer were recruited. Forty-three patients dropped out. No serious adverse events were reported. Exercise adherence in the group training was 68%. Improvements in VO2peak ( P < .001) and 6-minute walk distance ( P < .001) and muscle strength measurements ( P < .05) were seen. There was a reduction in anxiety level ( P = .0007) and improvement in the emotional well-being parameter (FACT-L) but no statistically significant changes in HRQoL were observed. Conclusion. The results of the present study show that during a 6-week hospital-based supervised, structured, and group-based exercise program, patients with advanced-stage lung cancer (NSCLC IIIb-IV, ED-SCLC) improve their physical capacity (VO2peak, 1RM), functional capacity, anxiety level, and emotional well-being, but not their overall HRQoL. A randomized controlled trial testing the intervention including 216 patients is currently being carried out.