Lung cancer is the leading cause of cancer-related death worldwide. Patients living with lung cancer often experience severe physical and psychological symptoms including dyspnea, fatigue, anxiety, decreased exercise tolerance, muscle weakness and compromised health-related quality of life as a direct consequence of the disease or as an indirect consequence of the cancer therapy itself. As both screening and treatment modalities improve, the number of people living with a diagnosis of lung cancer is increasing. Consequently, management of cancer-related symptoms as well as improvement of overall quality of life and functional status become critical issues in lung cancer patients. Thus, during the last decade, a wide range of exercise prescriptions and training modalities has been proposed and an emerging literature has addressed the effects of exercise-based rehabilitation programs along the continuum of the disease. The aim of this review is to address the latest literature regarding the feasibility and effectiveness of exercise-based rehabilitation for patients with lung cancer receiving treatments (perioperative, during chemotherapy/radiation therapy or following them) or for patients with advanced diseases. We also address how the use of new technologies or training modalities such as home-based telerehabilitation or neuromuscular electrical stimulation appears to be a promising approach to improve accessibility and participation in exercisebased rehabilitation programs. Evidence from our review suggests that pre and post-operative exercise-based rehabilitation appear to be safe and effective approaches to use with patients with lung cancer and for those with advanced disease receiving chemotherapy/radiation therapy. Larger randomized controlled trials are needed to confirm the efficacy of exercise interventions in this population.