People waiting at the stop can hear the sound of a man coughing before a woman is heard urging people to visit their GP if they, or someone they know, has had a cough for three weeks or more.
The shelter has been placed in Sandgate, in Ayr's town centre.
Run by the Scottish government's Detect Cancer Early campaign, the project aims to raise awareness of a cough as a key sign of lung cancer.
The bus shelter also bears the image of a man coughing, alongside the campaign's strapline - "Don't get scared, get checked".
Dr Hugh Brown, NHS Ayrshire and Arran's Primary Care Cancer Lead, welcomed the "great opportunity" provided by the shelter "to explain to people the potential significance of a cough when they're least expecting it."
He said: "One reason patients are often diagnosed late is that they are unaware of the symptoms of lung cancer.
"I hope this makes a huge impression and helps get the message across to people in Ayrshire that it's important if you, or someone you know, has had a cough for three weeks or more, it's time to get it checked out.
"It's probably nothing to worry about, but it could be a sign of lung cancer.
"The disease can develop slowly over a number of years and often causes no pain. It is much more treatable than it used to be, but being switched on to the symptoms and acting quickly to have them checked by a GP are crucial - you won't be wasting anyone's time."
Scotland first "coughing" bus shelter has been installed in Ayr.