Objective The aim of this systematic review was to examine the association between physical activity (PA) and Health-Related Quality of Life (HRQoL) as well as other Patient-Reported Outcome Measures (PROMs) in patients with lung cancer. Material and Methods A systematic search was conducted using the following databases: PUBMED, MEDLINE(Ovid), Cochrane Library Plus, Web Of Science (WOS), SCOPUS, SPORTDiscus and PEDro. The last search was conducted in October the 5th, 2021. Articles which explored the association between PA levels and Health-Related Quality of Life (HRQoL) and/or other PROMs were included. Risk of bias was assessed using the Johanna Briggs Institute Critical Appraisal Tools. When appropriate, a meta-analysis was performed to summarise the strength of the association between PA and each PROM. Results The electronic search yielded 1,000 records of which 23 were finally selected by two independent reviewers. Moderate associations were found between engaging in PA and global HRQoL (r = 0.41; 95% CI: 0.21 – 0.57; p < .0001) as well as depression (r = -0.33; 95% CI: -0.44, -0.19; p < .001). In addition, small assocaitions were also reported for fatigue (r = -0.23; 95% CI: -0.3, -0.17; p < .001) and dyspnoea (r = -0.25; 95% CI: -0.33, -0.16; p < .001). No significant associations were found for anxiety or sleep. Conclusions Although the majority of the studies included some risk of bias, engaging in regular PA seems to be associated with better overall HRQoL, mood and less symptom burden in patients with LC.