Background Thyroid hormones are key regulators of several physiological processes, including differentiation, embryonic development, proliferation, and metabolism. Several prospective studies have shown a relationship between hyperthyroidism and cancer incidence; however, since the association between thyroid hormone levels and lung cancer remains controversial, this study aimed to determine the correlation between the same. Methods We retrospectively analyzed 289 patients, who were diagnosed with lung cancer at the Huzhou Central Hospital between January 2016 and January 2021, and 238 healthy subjects. The baseline clinical data of two groups were collected. The concentrations of thyroid hormones, tumor CEA, CYF, SCC, and NSE in both the lung cancer patient and healthy volunteer groups were analyzed. Student’s t-test or Mann–Whitney test was used to compare continuous variables. A chi-square test was adopted to estimate the relationship between serum thyroid hormones level and clinical characteristics of lung cancer cases. ROC curve analyses were used to determine the characteristics of thyroid hormones for recognizing lung cancer. Results The results showed that serum thyroid stimulating hormone (TSH), total thyroxine, total triiodothyronine, and free triiodothyronine (FT3) levels were significantly decreased, while free thyroxine (FT4) levels were increased in patients with lung cancer. In addition, FT3 was identified as a potential diagnostic biomarker of stage I–IV lung cancer with the area under the curve values of 0.807. What’s more, FT3 and FT4 were used in combination with CEA and were identified as potential diagnostic biomarkers of stage 0 lung cancer (Tis) with the area under the curve values of 0.774. Conclusions Our study highlights the possibility of using thyroid hormones as innovative diagnostic markers for lung cancer.