To assess the effectiveness of exercise interventions on psychological distress in lung cancer patients and how this effectiveness varies by cancer stage, treatment, intervention type (exercise/with other interventions), exercise mode, duration, and sustained effects over time. Randomized controlled trials (RCTs) investigating exercise effects on psychological distress were included. Exclusion criteria were studies with less than 50% lung cancer patients, those on pharmacotherapy/psychotherapy, and studies focused solely on breathing exercises. Data sources included PubMed, Embase, MEDLINE, CINAHL, and Scopus. Reporting followed PRISMA 2020 guidelines, with analysis via Review Manager 5.4, and quality assessed using Cochrane RoB 2. Twenty-two studies with 1524 participants were selected from 611 articles. All intervention groups were compared to usual care. Meta-analysis, including 11 studies, showed significant reductions in anxiety (SMD = - 0.52, 95% CI = - 0.94 to - 0.09, p = .02) and depression (SMD = - 0.55, 95% CI = - 0.89 to - 0.21, p = .001). The subgroup revealed that early-stage patients, surgery alone, engaging in aerobic exercise (with other exercise modes) or combined interventions showed greater effectiveness in reducing anxiety and depression. Regarding sustained effects, exercise interventions showed a significant medium-term effect on reducing anxiety. Exercise interventions show promise in reducing psychological distress among lung cancer patients. However, further research is needed to optimize these interventions and explore their long-term effects. The effectiveness of exercise interventions on psychological distress in lung cancer patients varies by cancer stage, treatment, and intervention type, supporting the use of tailored programs.