A liquid-fillable heavy training bag includes a cylindrical flexible outer shell having top and bottom walls to form a generally closed cylindrical inner surface. Suitable support is provided for suspending the cylindrical outer shell from an upper support member, such as a ceiling. A generally cylindrical liquid-impermeable flexible liner is provided within the outer shell for receiving and containing a liquid medium such as water. The liner is configured and dimensioned to generally conform to the shape of the inner surface of the outer shell when the liner is fully expanded, such as when filled with water. An intermediate layer is provided made of compressible material and arranged between and contacting the outer shell and the liner when the liner is filled with liquid. The intermediate layer forms a cushion for absorbing external impacts to the outer shell and absorbs and attenuates shock waves imparted to the liquid medium within the liner to protect the liner and better simulate the feel of a conventional, non-liquid filled heavy bag.