This study aimed to investigate the changes in physical function, fatigue, and psychiatric symptoms in patients with hematological malignancy undergoing chemotherapy and low-intensity exercise training. Sixty-two hospitalized patients with hematological malignancy undergoing chemotherapy and low-intensity exercise were recruited. At the time of exercise initiation and hospital discharge, grip strength, knee extension muscle strength, maximum walking speed, Eastern Cooperative Oncology Group (ECOG) performance status, a measure of functional independence, cancer fatigue pain, and hospital anxiety and depression were evaluated. When longitudinal data were analyzed in each group, changes in grip strength and knee extension muscle strength were unevenly distributed: some patients showed a decrease in knee extension strength. On the other hand, maximum walking speed, the measure of functional independence, and ECOG performance status were maintained or improved in more than 90% of the patients. Results of fatigue, anxiety, and depression tended to show an improvement in female patients, but not in male patients. In conclusion, physical function was maintained in nearly all patients with hematological malignancy undergoing chemotherapy and low-intensity exercise training. Sex differences were found in changes of fatigue, anxiety, and depression.