Lung cancer still represents the leading cause of cancer-related death, globally. Likewise, malnutrition and inactivity represent a major risk for loss of functional pulmonary capacities influencing overall lung cancer severity. Therefore, the adhesion to an appropriate health lifestyle is crucial in the management of lung cancer patients despite the subtype of cancer. This review aims to summarize the available knowledge about dietary approaches as well as physical activity as the major factors that decrease the risk towards lung cancer, and improve the response to therapies. We discuss the most significant dietary schemes positively associated to body composition and prognosis of lung cancer and the main molecular processes regulated by specific diet schemes, functional foods and physical activity, i.e., inflammation and oxidative stress. Finally, we report evidence demonstrating that dysbiosis of lung and/or gut microbiome, as well as their interconnection (the gut–lung axis), are strictly related to dietary patterns and regular physical activity playing a key role in lung cancer formation and progression, opening to the avenue of modulating the microbiome as coadjuvant therapy. Altogether, the evidence reported in this review highlights the necessity to consider non-pharmacological interventions (nutrition and physical activity) as effective adjunctive strategies in the management of lung cancer.