Lung cancer is the most lethal cancer: it has a significant incidence and low survival rates. Lifestyle has an important influence on cancer onset and its progression, indeed environmental factors and smoke are involved in cancer establishment, and in lung cancer. Physical activity is a determinant in inhibiting or slowing lung cancer. Certainly, the inflammation is a major factor responsible for lung cancer establishment. In this scenario, regular physical activity can induce anti-inflammatory effects, reducing ROS production and stimulating immune cell system activity. On lung function, physical activity improves lung muscle strength, FEV1 and forced vital capacity. In lung cancer patients, it reduces dyspnea, fatigue and pain. Data in the literature has shown the effects of physical activity both in in vivo and in vitro studies, reporting that its anti-inflammatory action is determinant in the onset of human diseases such as lung cancer. It has a beneficial effect not only in the prevention of lung cancer, but also on treatment and prognosis. For these reasons, it is retained as an adjuvant in lung cancer treatment both for the administration and prognosis of this type of cancer. The purpose of this review is to analyze the role of physical activity in lung cancer and to recommend regular physical activity and lifestyle changes to prevent or treat this pathology.