During radiation therapy, cancer patients may report cancer-related fatigue (CRF), which impairs aerobic capacity, strength, muscle mass, and, ultimately, quality of life (QOL). The purpose of this pilot clinical trial was to examine the feasibility and initial efficacy of a home-based aerobic and progressive resistance exercise intervention for aerobic capacity, strength, muscle mass, CRF, and QOL. Daily steps walked (DSW), daily minutes of resistance exercise (MRE), and number of resistance exercise days (RED) were assessed to evaluate intervention adherence. Breast and prostate cancer patients (n = 38) beginning radiation therapy were randomized to undergo 4 weeks of exercise or no exercise. Participants in the exercise group demonstrated good adherence to the exercise intervention, with significantly more DSW, MRE, and RED at post intervention and 3 month follow-up than controls. Participants in the exercise intervention exhibited significantly higher QOL and significantly lower CRF post intervention and at 3-month follow-up than controls. Results of this pilot study provide positive preliminary evidence that exercise during radiation may be beneficial for cancer patients.