Background: Fatigue is a frequent debilitating symptom among patients with lung cancer. The effect of exercise on fatigue remains to be quantified. Objective: This review aimed to examine the effect of exercise on fatigue by synthesizing findings from randomized controlled trials (RCTs). Methods: This systematic review followed the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines. A systematic search was conducted in five electronic databases from inception to March 2020. Only RCT was included. The primary outcome was fatigue and the secondary outcomes included depression, anxiety, quality of life, and functional capacity. Pooled weighted or standardized mean difference (WMD or SMD) with 95% confidence interval (CI) was calculated. Results: Eight RCTs were included. The exercise intervention was delivered in the supervised environment (n = 6) or free-living settings (n = 2). Exercise reduced the level of fatigue (SMD = -0.33; 95% CI = -0.54 to -0.13). Exercise also decreased depressive symptom (WMD = -1.57; 95% CI = -2.69 to -0.44) and anxiety (WMD = -1.39; 95% CI = -2.60 to -0.18). Exercise showed a moderate effect on the quality of life, with an SMD of 0.33 (95% CI = 0.08 to 0.58). Exercise intervention increased functional capacity as measured by the six-minute walk test by 20 meters (95% CI = 14.2 to 55.0), but the effect was not significant (p = 0.247). Conclusion: Exercise demonstrated a moderate effect on fatigue in patients with lung cancer. Exercise also improved depressive symptoms, anxiety, and quality of life; however, its impact on functional capacity was not significant. More clinical trials are warranted to explore the mechanisms underlying the impact of exercise on fatigue. Strategies improving adherence to exercise prescription should be developed to help these patients overcome potential challenges.