Pneumonia and fever are common side effects of high dose chemotherapy (HDC). The positive influence of physical activity on physiological and psychological parameters in cancer patients has been demonstrated in several studies. In this non-randomized controlled pilot study we investigated the infection and pneumonia risk in 36 high dose chemotherapy patients undergoing a supervised endurance exercise program. 18 patients exercised for at least 3 weeks, starting with initiation of chemotherapy. These patients in the intervention group were compared with 18 patients who were matched by disease (leukemia/lymphoma), sex, age, risk factors, therapy protocols and did not take part in the exercise intervention. Leukemia and lymphoma groups were evaluated separately. In the leukemia group significant higher pneumonia rates could be observed in the control group (p = 0.040) when compared to the intervention group. Further an almost significantly higher risk (p = 0.061) of developing a pneumonia and fever was detected in the control group. In this pilot study, we gained first important positive experiences in possibly preventing pneumonias and fever through endurance training. Due to the non-randomized study design and small sample size the results are limited yet not irrelevant. RCTs with larger sample sizes are necessary to prove these findings.