Background: This single blind, multicenter randomized controlled trial aimed to evaluate the effectiveness of a supervised high intensity exercise program on physical fitness and fatigue in patients with multiple myeloma or lymphoma recently treated with autologous stem cell transplantation. Methods: 109 patients were randomly assigned to the 18-week exercise intervention or the usual care control group. The primary outcomes included physical fitness (VO2peak and Wpeak determined using a cardiopulmonary exercise test; grip strength and the 30s chair stand test) and fatigue (Multidimensional Fatigue Inventory) and were assessed prior to randomization and after completion of the intervention or at similar time points for the control group. Multivariable multilevel linear regression analyses were performed to assess intervention effects. Results: Patients in the intervention group attended 86% of the prescribed exercise sessions. Of the patients in the control group, 47% reported ≥10 physiotherapy sessions, which most likely included supervised exercise, suggesting a high rate of contamination. Median improvements in physical fitness ranged between 16 and 25% in the intervention group and between 12 and 19% in the control group. Fatigue decreased in both groups. There were no significant differences between the intervention and control group. Conclusion: We found no significant beneficial effects of the supervised high intensity exercise program on physical fitness and fatigue when compared to usual care. We hypothesized that the lack of significant intervention effects may relate to suboptimal timing of intervention delivery, contamination in the control group and/or suboptimal compliance to the prescribed exercise intervention. Trial registration: Netherlands Trial Register—NTR2341.