Advanced-stage lung cancer (LC) causes significant morbidity and impacts patients’ quality of life (QoL). Exercise has been proven to be safe, feasible, and beneficial for symptom reduction and QoL improvement in many types of cancers, but research is limited in advanced-stage LC patients. This systematic review evaluates the effect of exercise interventions on the symptoms and QoL in patients with advanced-stage LC. Twelve prospective studies (744 participants) were included, evaluating different combinations of exercises and training such as aerobics, tai chi, strength, inspiratory muscle training, and relaxation. Studies found outcomes including but not limited to improved QoL, symptom burden, psychosocial health, functional status, and physical function. The results of this review support that exercise is safe and feasible with evidence supporting improved QoL and symptom mitigation. Integration of exercise should be considered in the individualized management of advanced-stage LC patients under the guidance of their healthcare providers.