Lung cancer patients experience loss of physical capacity, dyspnea, pain, reduced energy and psychological distress. The aim of this study was to explore feasibility, health benefits and barriers of exercise in former sedentary patients with advanced stage lung cancer, non-small cell lung cancer (NSCLC) (III–IV) and small cell lung cancer (SCLC) (ED), undergoing chemotherapy. The intervention consisted of a hospital-based, supervised, group exercise and relaxation program comprising resistance-, cardiovascular- and relaxation training 4 h weekly, 6 weeks, and a concurrent unsupervised home-based exercise program. An explorative study using individual semi-structured interviews (n=15) and one focus group interview (n=8) was conducted among the participants. Throughout the intervention the patients experienced increased muscle strength, improvement in wellbeing, breathlessness and energy. The group exercise and relaxation intervention showed an adherence rate of 76%, whereas the patients failed to comply with the home-based exercise. The hospital-based intervention initiated at time of diagnosis encouraged former sedentary lung cancer patients to participation and was undertaken safely by cancer patients with advanced stages of disease, during treatment. The patients experienced physical, functional and emotional benefits. This study confirmed that supervised training in peer-groups was beneficial, even in a cancer population with full-blown symptom burden and poor prognosis.