Background: COVID-19 has been ravaging the globe for more than three years. Due to systemic immunosuppression of anti-tumor therapy, application of chemotherapy and adverse effects of surgery, the short- and long-term prognosis of cancer patients to COVID-19 are of significant concern. Method: This research included three parts of data. The first part of the data came from the public database that covered Veneto residents. The second part of the data included participants in Guangzhou. The third part of the data was used for MR analysis. We assessed the associations by logistic, linear or Cox regression when appropriate. Result: Lung cancer patients with COVID-19 had shorter progression-free survival (PFS) after COVID-19 (Model II: HR: 3.28, 95% CI: 1.6~6.72; Model III: HR: 3.39, 95% CI: 1.45~7.95), compared with lung cancer patients without COVID-19. Targeted therapy patients recovered from SARS-CoV-2 infection more quickly (Model I: β: -0.58, 95% CI: -0.75~-0.41; Model II: β: -0.59, 95% CI: -0.76~-0.41; Model III: β: -0.57; 95% CI: -0.75~-0.40). Conclusions: PFS in lung cancer patients is shortened by COVID-19. The outcome of COVID-19 in lung cancer patients was not significantly different from that of the healthy population. In lung cancer patients, targeted therapy patients had a better outcome of COVID-19, while chemotherapy patients had the worst.