We investigated changes in functional fitness after an exercise program in combination with Calanus oil supplementation, a novel source of bioactive lipids rich in wax esters with omega-3 polyunsaturated fatty acid (n-3 PUFA). Fifty-five healthy sedentary women aged 65–80 (mean age 70.9 ± 3.9 years, BMI 27.24 ± 3.9 kg m−2, VO2peak 19.46 ± 3.7 ml kg−1 min−1) were enrolled in the study. The participants were divided into two groups: exercise training plus Calanus Oil supplementation (n = 28) or exercise plus placebo (sunflower oil) supplementation (n = 27). The exercise intervention program was completed by 53 participants and contained functional circuit training (twice a week, 45 min plus 15 min of stretching and balance training) and Nordic walking (once a week, 60 min) for 16 weeks. Senior fitness test, exercise stress test on bicycle ergometer, hand-grip, and body composition were evaluated before and after the program. Our results show that functional fitness and body composition improved following the interventional exercise program, but for most of the parameters there was no synergic effect of supplementing n-3 PUFA-rich Calanus oil. In comparison to the placebo group, the group with Calanus supplementation experienced significantly higher improvement of functional strength of lower body which was evaluated by the chair stand test. Supplementation with Calanus may have a synergic effect with exercise on functional strength of the lower body in the elderly.