Aim: To examine the feasibility of an individual, supervised, structured moderate-to-high intensity cycle ergometer exercise training immediately before radiotherapy in patients undergoing concomitant chemoradiotherapy for locally advanced non-small cell lung cancer (NSCLC). Background: Lung cancer is the most common form of cancer. Despite significant advancements in therapy and supportive care it is still the leading cause of cancer-related death worldwide. Materials and methods: Randomized controlled study design; patients with NSCLC receiving concomitant chemoradiotherapy were recruited and randomly assigned to either the exercise (EXE) or the control (CON) group. Exercise training consisted of 20 min moderate-to-high intensity aerobic interval training 5 times per week (Mon–Fri) prior to radiotherapy. Secondary outcomes were assessed at baseline and after 7 weeks: peak oxygen consumption (VO_2peak), functional capacity (6MWD), pulmonary function (FEV1), psychosocial parameters (quality of life (FACT-L), anxiety and depression (HADS)) and cancer-related side effects (reported daily). Results: Fifteen patients were included. All patients completed a baseline test, while 13 patients were eligible for a posttest. The recruiting rate was 44.1% and the overall attendance rate to exercise was 90.0% with an adherence rate to full exercise participation of 88.1%. No adverse events or any unexpected reactions were observed during the exercise sessions. No significant differences were observed within or between groups from baseline to post intervention in any of the secondary outcomes. Conclusion: This study demonstrated ‘proof of principle’ that daily moderate-to-high intensity cycle ergometer exercise was feasible, safe and well tolerated among newly diagnosed patients with locally advanced NSCLC undergoing concomitant chemoradiotherapy. Larger randomized controlled trials are warranted.