The aim of this study was to assess the impact of exercise training on the quality of life (QoL) of patients diagnosed with stage IIIB and stage IV non-small cell lung cancer (NSCLC) compared to a passive control group (CG). The exercise-trained group (ETG) consisted of 18 patients, and the CG consisted of 8 patients. The training program in the ETG consisted of two 2-week running cycles interspersed with consecutive rounds of chemotherapy with cytostatic drugs. A comparison of the changes in the Short Form (36) Health Survey (SF-36), St. George's Respiratory Questionnaire (SGRQ), and the Functional Assessment of Cancer Therapy-Lung (FACT-L) was the primary outcome. Analysis of the results of the SGRQ and the SF-36 questionnaire did not reveal any statistically significant differences in the assessment of QoL between the examined groups. The analysis of FACT-L questionnaires showed statistically significant changes, indicating deterioration of QoL in domains describing physical well-being in the CG. Therefore, the analysis of the results of the QoL assessment did not show any significant improvements in the group of patients undergoing comprehensive exercise training, although deterioration of QoL was noted in the CG.