Purpose <p>Exercise has the potential to improve and maintain physical function, alleviate symptoms, improve quality of life, and influence prognosis in patients with advanced lung cancer. This systematic review and meta-analysis of randomized controlled trials (RCTs) primarily examined the impact of exercise on physical function, with a focus on cardiorespiratory fitness.</p> Methods <p>A systematic search of PubMed, Cochrane Library, Web of Science, and CINAHL was conducted from inception to June 28, 2024. Eligible RCTs examined exercise interventions in patients with advanced lung cancer, evaluating physical function, symptoms, quality of life, and prognosis. Subgroup analyses were performed based on measurement sites and items. Standardized mean differences (SMDs) with 95% confidence intervals (CIs) were calculated for quantitative outcomes, and a random-effects model was used for data pooling.</p> Results <p>Nine RCTs (from 4,262 retrieved articles) were included in the meta-analysis. The results indicated that patients who participated in exercise interventions had greater improvements in VO₂peak (SMD 0.38; <i>p</i> = 0.01), muscle strength, and physical activity than those in the control group. Additionally, exercise was associated with greater reductions in fatigue and improvements in quality of life. Since only one study reported on prognosis, a meta-analysis could not be performed for this outcome.</p> Conclusions <p>We conclude that exercise plays a crucial role in improving cardiorespiratory fitness, muscle strength, quality of life, and fatigue in patients with advanced lung cancer, highlighting the importance of incorporating exercise into their cancer care. However, future studies, including head-to-head comparative trials, are required to clarify the effects of different exercise types and their impact on prognosis.</p> <p>PROSPERO Registration Number: CRD42024575482.</p>