Aim: To investigate the effects of exercise training on exercise capacity, health-related quality of life (HRQoL), dyspnoea, fatigue, feelings of anxiety and depression and lung function in people with advanced lung cancer. Methods: We searched the Cochrane Central Register of Controlled Trials, PubMed, EMBASE, CINAHL, SPORTDiscus and PEDro up to July 2017. Randomised controlled trials (RCTs) were included in which study participants with advanced lung cancer (stage IIIB or IV) were allocated to receive either exercise training or a control group that received usual care. Two review authors independently screened and assessed studies for inclusion. Risk of bias was assessed using the Cochrane seven evidence-based domain table Meta-analyses were conducted were possible. Results: Five RCTs involving 109 participants were identified. Overall, the risk of bias in the included studies was high. Pooled data from the included studies demonstrated that, compared to usual care, exercise training improved exercise capacity (SMD 0.76; 95% CI 0.30 to 1.23) and HRQoL (SMD 0.41; 95% CI 0.00 to 0.81). No between-group difference were found for dyspnoea (SMD -0.26; 95% CI -0.77 to 0.25), fatigue (SMD -0.12; 95% CI -0.56 to 0.33), feelings of anxiety (SMD -0.38; 95% CI -1.86 to 1.10), depression (SMD -0.46; 95% CI -1.44 to 0.53) or forced expiratory volume in one second (SMD 0.34; 95% CI -0.24 to 0.92). Conclusion: Exercise training appears to improve exercise capacity and HRQoL in people with advanced lung cancer. The findings of this review should be interpreted with caution due to disparities between the studies, methodological limitations, risk of bias and small sample sizes. This systematic review emphasises the need for larger RCTs.