The classical Lambert series is given by \( L(x)= \sum _{\nu =1}^\infty \frac{x^{\nu }}{1-x^{\nu }}, \quad |x|<1. \)We prove that the function \(t\mapsto L(1-e^{-t})\) is strictly convex and strictly log-concave on \([0,\infty )\). Moreover, we use these results to deduce some functional inequalities for the Lambert series.