The purpose of this pilot study was to assess the effects of a physical exercise program on physical performance and quality of life (QOL) in a population with incurable cancer and a short life expectancy. Thirty-four patients participated in a 50-minute group exercise program twice a week for 6 weeks. Physical performance was measured by three tests: "6-minute walk test," "timed repeated sit to stand," and "functional reach." Fatigue was measured by the Fatigue Questionnaire. QOL was assessed by the European Organization for Research and Treatment of Cancer Core Quality of Life Questionnaire. The outcome variables were assessed before and after the intervention. The walk length increased and the "timed repeated sit to stand" was reduced (P < 0.05). Emotional functioning improved and physical fatigue was reduced (P < 0.05). Physical exercise seems to be a feasible way to improve well-being among patients with incurable cancer. Future randomized trials are needed to confirm the results.