Background: Exercise programs in patients with kidney disease improve functional capacity and health-related quality of life, but the implementation of exercise programs in nephrology services is not an easy task. Aim: To evaluate the effectiveness of a home-based exercise program in patients with chronic kidney disease (CKD) stages 4–5 (with or without dialysis). Methods: A 12-week prospective observational cohort design study was carried out with patients with renal failure who undertook a home-based exercise program. Registered data included: (a) biochemical parameters; (b) functional capacity tests, that is, short physical performance battery, sit to stand to sit 10, and 6-min walking test; (c) handgrip strength; (d) health-related quality of life; (e) satisfaction; and (f) adherence. The quantitative variables were expressed by means and standard deviation, and qualitative variables, by percentage. The comparison of quantitative data between baseline and at 12 weeks of the same group was carried out using the Wilcoxon test for nonparametric-related variables and the chi-square test for categorical variables using contingency tables. Results: Fifty-three patients were included (mean age = 67.4 years). The functional capacity tests showed a significant improvement in the short physical performance battery (8.3 ± 2.8 vs. 9.5 ± 2.6 points), the sit to stand to sit 10 (35.8 ± 17.7 vs. 31.8 ± 15.3 s), and the 6-min walking test (355.0 ± 106.1 vs. 386.4 ± 113.6 meters), mainly in CKD stage 5. There were no significant differences in handgrip and health-related quality of life. Regarding the degree of program satisfaction, 70% of the patients were very satisfied with being able to participate in the program, and 64% considered that they had more strength after completing the home-based exercise program. Linking Evidence to Action: The implementation of a home-based exercise program results in improved functional capacity in patients with CKD stage 5. Moreover, this exercise program is safe, and patients were satisfied.