The objective of the study was to examine whether serum concentrations of retinol (vitamin A) and alpha-, beta-, and gamma-tocopherols (vitamin E) are affected by underweight and weight gain. The analysis was carried out in underweight (n = 42, of whom 24 had chronic obstructive pulmonary disease) and normal-weight (n = 29, of whom 16 had chronic obstructive pulmonary disease) candidates for lung transplantation before and after dietary intervention for weight gain. In all the patients, serum concentrations of retinol at baseline and changes in retinol were positively associated with body mass index (unstandardized regression coefficient, b = 0.03; p = 0.05) and an increase in weight (b = 0.09, p = 0.02) after dietary intervention, respectively. At baseline, serum retinol concentrations were positively correlated with forced vital capacity (b = 0.24, p < 0.05) and forced expiratory volume in one second (b = 0.17, p < 0.05). In patients with chronic obstructive pulmonary disease (COPD), tocopherols were higher in the underweight patients than in the normal-weight ones, while it was an opposite tendency in patients with other lung diseases. Only in patients with lung diseases other than COPD was there found a positive association between tocopherols and lung gas diffusion. In patients with other diagnoses compared with patients with COPD, a positive change in serum tocopherol status after weight gain was suggested.