This study aimed to examine the effect of an intradialytic exercise program in combination with music on heart rate variability (HRV) indices and functional capacity in patients on maintenance hemodialysis (HD). Methods: Forty HD patients were randomized to four training groups for six months: the combined music and exercise group (Group A), the exercise group (Group B), the music group (Group C), and the control group (Group D). At baseline and after 6 months, all participants underwent both short- (for 30 min) and long- (for 24 h) term measurements of HRV and functional capacity assessment with a 6 min walking test (6MWT). Patients of groups A and C listened to preferred music. Results: Long-term HRV analysis showed that standard deviation of all normal-to-normal RR intervals (SDNN) and the square root of the mean squared differences of successive RR intervals (rMSSD) were significantly higher at the end of the study in groups A (by 13.2% and 47.3%), B (by 15.1% and 50%), and C (by 9.0% and 30.1%), compared to group D (p < 0.05). Values of rMSSD and percentage of RR intervals differing by more than 50 ms from the preceding RR interval (pNN50) were elevated in groups A (by 35.6% and 142.9%), B (by 36.1% and 75%), and C (by 15.2% and 28.6%), compared to baseline measurements (p < 0.05). Also, pNN50 was increased in group A compared to groups B (by 21.4%), C (by 88.9%), and D (by 142.9%) (p < 0.05). Similar results were noted by short-term HRV analysis. Functional capacity was improved at the end of the 6-month study in groups A (by 20.3% and 25.7%) and B (by 15.8% and 21.1%) compared to groups C and D (p < 0.05). Conclusions: Intradialytic exercise combined with music-listening can improve the functional capacity and cardiac autonomic nervous system activity in hemodialysis patients.