The motion of self-propelled massive particles through a gaseous medium is dominated by inertial effects. Examples include vibrated granulates, activated complex plasmas and flying insects. However, inertia is usually neglected in standard models. Here, we experimentally demonstrate the significance of inertia on macroscopic self-propelled particles. We observe a distinct inertial delay between orientation and velocity of particles, originating from the finite relaxation times in the system. This effect is fully explained by an underdamped generalisation of the Langevin model of active Brownian motion. In stark contrast to passive systems, the inertial delay profoundly influences the long-time dynamics and enables new fundamental strategies for controlling self-propulsion in active matter.