Background: The number of chronic renal failure patients treated by hemodialysis (HD) is continuously increasing. Most patients have reduced physical capacity and have a high risk of cardiac and vascular diseases. The aim of this study was to determine the effects of 5 months physical exercise of HD patients’ physical capacity, self-rated health and risk factors for cardiovascular disease. Methods: 33 HD patients were included in the study. Inclusion criteria: HD for more than 3 months, age >18 years. Exclusion criteria: Diabetes mellitus, symptomatic cardiovascular disease, musculoskeletal limitations, severe peripheral polyneuropathy, inability to speak Danish or English, dementia or other mental disorders. The patients were randomly assigned to an exercise group (EG, n = 22) or a control group (CG, n = 11). Prior to randomization, baseline testing was performed. The effects were measured by aerobic capacity, ‘2-min stair climbing’, ‘squat test’, self-rated health (SF36), blood pressure and lipids. All tests were carried out by blinded testers. The intervention consisted of 1 h of physical exercise twice a week for 5 months. Results: 20 patients completed the intervention. Attendance was 74% of all sessions. There were no dropouts caused by complications related to the intervention. The EG had a significant increase in aerobic capacity, ‘squat test’ and Physical Function and Physical Component Scale (SF36). No significant changes were observed in any of the parameters in the CG. Conclusion: Physical exercise twice a week for 5 months increases physical function and aerobic capacity in HD patients. An exercise program with only two exercise sessions per week seems easy to implement in clinical practice with high attendance among participants. Further investigation is needed to determine the effects on blood pressure and lipids. There were no medical complications related to the exercise program.