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Patients on hemodialysis (HD) show changes in muscle structure and function reducing their functional capacity. This study was conduted to assess the effects of respiratory muscle training (RMT) and peripheral muscle training (PMT) during dialysis on functional parameters, inflammatory state, and quality of life (QoL) in patients on HD. Randomized controlled trial included 39 patients on HD, and they were divided into three groups: RMT (n = 11), PMT (n = 14), and controls (C, n = 14). Training was performed during the HD session for 10 weeks. Maximal inspiratory pressure (PI(max)), maximal expiratory pressure (PE(max)), forced vital capacity (FVC), six-minute walk test (6MWT), Kt/V(sp), biochemical parameters, and inflammatory state (i.e., level of high sensitivity C-reactive protein) were evaluated. Variation from baseline was calculated by Analysis of Covariance (ANCOVA). The ΔPI(max) was 22.5 ± 3.2, 9.1 ± 2.9, and -4.9 ± 2.8 cmH(2)O in the RMT, PMT and C, respectively (p < 0.001); ΔPE(max) was 10.8 ± 6.6, 3.7 ± 5.9, and -15.6 ± 5.9 cmH(2)O respectively (p = 0.014). The Δ6MWT was significantly greater in RMT and PMT (65.5 ± 9; 30.8 ± 8 m) than in C (-0.5 ± 8.1 m), p < 0.001. Although biochemical parameters decreased after training, Kt/V remained unchanged. CRP decreased only in the RMT and PMT groups. There was a significant increase in QoL scores in the training groups (vs. C) in energy/fatigue (p = 0.002), sleep (p < 0.001), pain (p < 0.001), and list of symptoms/problems (p = 0.014). A short period of RMT or PMT during HD significantly improved functional capacity, with RMT showing greater effect than PMT. Muscle training improved biochemical and inflammatory markers, but a direct cause and effect relationship could not be established by this study.