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Abstract Background The use of high-dose chemotherapy combined with autologous stem cell transplantation has improved the outcome of hematologic malignancies. Nevertheless, this treatment can cause persistent fatigue and a reduced global quality of life, role and physical function. Physical exercise interventions may be beneficial for physical fitness, fatigue and quality of life. However, the trials conducted so far to test the effects of physical exercise interventions in this group of patients were of poor to moderate methodological quality and economic evaluations are lacking. Hence there is need for a rigorous, appropriately controlled assessment of the effectiveness of exercise programs in these patients. The aims of the present study are (1) to determine the effectiveness of an individualized high intensity strength and interval training program with respect to physiological and psychological health status in patients with multiple myeloma or (non-)Hodgkin's lymphoma who have recently undergone high dose chemotherapy followed by autologous stem cell transplantation; and (2) to evaluate the cost-effectiveness of this program. Methods A multicenter, prospective, single blind randomized controlled trial will be performed. We aim to recruit 120 patients within an inclusion period of 2 years at 7 hospitals in the Netherlands. The patients will be randomly assigned to one of two groups: (1) intervention plus usual care; or (2) usual care. The intervention consists of an 18-week individualized supervised high-intensity exercise program and counselling. The primary outcomes (cardiorespiratory fitness, muscle strength and fatigue) and secondary outcomes are assessed at baseline, at completion of the intervention and at 12 months follow-up. Discussion The strengths of this study include the solid trial design with clearly defined research groups and standardized outcome measures, the inclusion of an economic evaluation and the inclusion of both resistance and endurance exercise in the intervention program. Trial registration This study is registered at the Netherlands Trial Register (NTR2341)