Fatigue and insomnia are problems for patients with cancer. Research findings show that aerobic exercise decreases cancer-related fatigue. Because patients with cancer who have skeletal muscle wasting may not obtain maximum benefit from aerobic exercise training, exercise programs may need to include resistance training. Thus far, testing exercise as an intervention for fatigue has focused on patients with breast cancer and excluded patients with bone metastasis. There is a need to test the feasibility and effectiveness of exercise for patients with other types of cancer and with bone involvement. The effect of aerobic and strength resistance training on the sleep of patients with cancer has not been tested. A pilot/feasibility study with a randomized controlled design was conducted to investigate home-based exercise therapy for 24 patients receiving high-dose chemotherapy and autologous peripheral blood stem cell transplantation as treatment for multiple myeloma. None of the patients injured themselves. Because of the small sample size in the feasibility study, the effect of exercise on lean body weight was the only end point that obtained statistical significance. However, the results suggest that an individualized exercise program for patients receiving aggressive treatment for multiple myeloma is feasible and may be effective for decreasing fatigue and mood disturbance, and for improving sleep.