Background: Patients with advanced lung cancer tend to experience dyspnea. Pulmonary rehabilitation has been reported as a method for relieving dyspnea. However, exercise therapy imposes a high burden on patients, and it is difficult to sustain in many cases. Inspiratory muscle training (IMT) imposes a relatively low burden on patients with advanced lung cancer; however, its benefits have not been demonstrated. Methods: We retrospectively analyzed 71 patients who were hospitalized for medical treatment. The participants were divided into an exercise therapy group and an IMT load + exercise therapy group. Changes in maximal inspiratory pressure (MIP) and dyspnea were examined using a two-way repeated measures analysis of variance. Results: MIP variations significantly increase in the IMT load group, with significant differences between baseline and week 1, between week 1 and week 2, and between baseline and week 2. The analysis also showed that the variations in dyspnea decreased in the IMT load + exercise therapy group with significant differences between baseline and week 1 and between baseline and week 2. Conclusions: The results show that IMT is useful and has a high persistence rate in patients with advanced lung cancer who present dyspnea and cannot perform high-intensity exercise therapy.