Background: Patients with advanced NSCLC experience fatigue and physical deconditioning altering their quality of life. Safety and feasibility of high intensity exercise in advanced NSCLC has not been explored yet. Methods: We report the results of a single-center, prospective two-arm study. Patients with advanced NSCLC actively receiving systemic therapy or having completed treatment less than 2 months prior to enrollment were included. Patients were allocated to either an intervention arm consisting of kinesiologist supervised high intensity interval training (HIIT) at 2 sessions per week for a total of 12 weeks; or a control arm of home exercise guided by an informative pamphlet. All patients were evaluated at baseline, 6 and 12 weeks by a kinesiologist. Quality of life (QoL) exercise surveys and measurement of strength were measured. Results: Sixty patients were enrolled between January 2018 and March 2020. The study was interrupted due to COVID-19. Thirty-two patients were included in the exercise program and 28 patients in the control group. Both groups were balanced in respect to baseline characteristics. A total of 32 (53%) patients went off protocol, 13 (18%) patients stopped due to symptomatic disease progression which included 2 (3%) deaths, 2 (3%) stopped due to COVID-19 preoccupations and the remaining patients withdrew for other reasons. 42 (70%) patients were evaluated at 6-weeks and 28 (47%) completed the 12-week follow-up, with equal distribution in each group. There were no significant difference at 12 weeks in the physical assessment nor the overall QoL scores between both groups: FACT-L on 135 points (+4.1 vs +1.7, p = 0.342) and FACIT on 52 points (+3 vs -0.2, p = 0.832). Patients in the exercise group demonstrated a significant improvement at 12 weeks in the Lung Cancer Symptoms domain on 28 points (22.3 vs 19.8, p = 0.015) as well as the Physical Wellbeing domain on 28 points (23.6 vs 20.6, p = 0.056) compared to the control group, respectively. No significant exercise related complications were reported. After the study, 9 of the 14 patients (64%) who completed the HIIT program continued to exercise virtually with a kinesiologist in contrast to none in the control group. Conclusions: This study demonstrated the safety and potential benefit of a HIIT program on lung-specific and physical wellbeing in patients with advanced NSCLC on active treatment. This study provides further support on the role of supervised physical exercise in patients living with cancer. Clinical trial information: 16.229.