Abstract Background Promoting quality of life (QoL) is a key priority in cancer care. We investigated the hypothesis that, in comparison to usual care, exercise post-neoadjuvant chemoradiation therapy/prior to surgical resection will reduce pain, fatigue, and insomnia, and will improve physical and mental health perceptions in patients with locally advanced stage rectal cancer. Methods In this non-randomized controlled pilot trial, patients in the supervised exercise group (EG; M age = 64 years; 64% male) and in the control group (CG; M age = 72 years; 69% male) completed the European Organization for Research and Treatment of Cancer core Quality of Life questionnaire and the RAND 36-Item Health Survey three times: pre-neoadjuvant chemoradiation therapy (Time 1; n EC = 24; n CG = 11), post-neoadjuvant chemoradiation therapy/pre-exercise intervention (Time 2; n EC = 23; n CG = 10), and post-exercise intervention (Time 3; n EC = 22; n CG = 10). The 6-week exercise intervention was delivered in hospital and comprised of interval aerobic training. Patients trained in pairs three times per week for 30 to 40 min. Data were analyzed by Mann–Whitney tests and by Wilcoxon matched-pairs signed-rank tests. Results No significant between-group differences in changes were found for any of the outcomes. In both groups, fatigue levels decreased and physical health perceptions increased from pre- to post-exercise intervention. Pain levels also decreased from pre- to post-exercise intervention, albeit not significantly. Conclusions The findings from this study can be used to guide a more definitive trial as they provide preliminary evidence regarding the potential effects of pre-operative exercise on self-reported pain, fatigue, insomnia, and health perceptions in patients with locally advanced rectal cancer. Trial registration: This study has been registered with clinicaltrials.gov (NCT01325909; March 29, 2011).