Background: This study addresses the significant challenge of low survival rates in patients with cause-specific lung cancer accompanied by bone or brain metastases. Recognizing the critical need for an effective predictive model, the research aims to establish survival prediction models using both parametric and non-parametric approaches. Methods: Clinical data from lung cancer patients with at least one bone or brain metastasis between 2000 and 2020 from the SEER database were utilized. Four models were constructed: Cox proportional hazard, Weibull accelerated failure time (AFT), log-normal AFT, and Zografos–Balakrishnan log-normal (ZBLN). Independent prognostic factors for cause-specific survival were identified, and model fit was evaluated using Akaike’s and Bayesian information criteria. Internal validation assessed predictive accuracy and discriminability through the Harriel Concordance Index (C-index) and calibration plots. Results: A total of 20,412 patients were included, with 14,290 (70%) as the training cohort and 6122 (30%) validation. Independent prognostic factors selected for the study were age, race, sex, primary tumor site, disease grade, total malignant tumor in situ, metastases, treatment modality, and histology. Among the accelerated failure time (AFT) models considered, the ZBLN distribution exhibited the most robust model fit for the 3- and 5-year survival, as evidenced by the lowest values of Akaike’s information criterion of 6322 and 79,396, and the Bayesian information criterion of 63,495 and 79,396, respectively. This outperformed other AFT and Cox models (AIC = [156,891, 211,125]; BIC = [158,848, 211,287]). Regarding predictive accuracy, the ZBLN AFT model achieved the highest concordance C-index (0.682, 0.667), a better performance than the Cox model (0.669, 0.643). The calibration curves of the ZBLN AFT model demonstrated a high degree of concordance between actual and predicted values. All variables considered in this study demonstrated significance at the 0.05 level for the ZBLN AFT model. However, differences emerged in the significant variations in survival times between subgroups. The study revealed that patients with only bone metastases have a higher chance of survival compared to only brain and those with bone and brain metastases. Conclusions: The study highlights the underutilized but accurate nature of the accelerated failure time model in predicting lung cancer survival and identifying prognostic factors. These findings have implications for individualized clinical decisions, indicating the potential for screening and professional care of lung cancer patients with at least one bone or brain metastasis in the future.