This study is for people who have previously been diagnosed with advanced stage non-small cell lung cancer (NSCLC). Many people with advanced stage NSCLC have trouble breathing and feel tired. People may be eligible for this study if they have advanced stage NSCLC and feel short of breath some of the time. NSCLC survivors may also experience things like fatigue and a lower quality of life. Pulmonary rehabilitation is a type of supportive treatment that may improve these symptoms. This study has two parts. The first part is a randomized trial where half of the participants receive eight weeks of pulmonary rehabilitation. The other half of participants do not do pulmonary rehabilitation and instead receive the treatment that their doctors would normally recommend. The purpose of this part of the research study is to understand if pulmonary rehabilitation can help people with advanced stage NSCLC have better functioning and less shortness of breath. The other part of the research study is an interview study. The purpose of doing interviews is to understand any challenges or obstacles that people with advanced stage NSCLC may have regarding pulmonary rehabilitation, as well as oncology care providers have with their participants going to pulmonary rehabilitation.