This is a protocol for a Cochrane Review (Intervention). The objectives are as follows: The primary aim of this study is to investigate the effects of exercise training on exercise capacity in adults with advanced lung cancer. Exercise capacity is defined as the Six-Minute Walk Distance (6MWD; in meters) measured during a 6MWT (i.e. how far an individual can walk in 6 minutes on a flat course) or the peak oxygen uptake (i.e. VO2peak) measured during a maximal incremental CPET. The secondary aims are to determine the effects of exercise training on the force-generating capacity of peripheral muscles, HRQoL, dyspnea, fatigue, feelings of anxiety and depression, lung function, and physical activity levels in adults with advanced lung cancer.