Background and objectives: Lung cancer is a common cancer, and its impact on public health is not only reflected in the 1 million deaths it causes annually but also in the significant implications it has on daily activities and quality of life, resulting in a considerable burden on healthcare systems. This review aims to determine the effects of pulmonary rehabilitation and pre- or post-surgical exercise in patients with lung cancer. Materials and methods: A systematic review with a meta-analysis of randomized controlled trials published between 2010 and 2024 was conducted; the search was carried out in PubMed, Cochrane Clinical Trial, SCOPUS, Science Direct, Web of Science, Scielo, and LILAC. Results: Pulmonary rehabilitation or exercise before surgery was associated with a greater 6 min walking distance (MD: 37.42, 95% CI: 9.68–65.1; p = 0.008); however, it had no implications on hospital stay (MD: −0.91, 95% CI: −1.88–0.055; p = 0.06). When the intervention was performed post-surgery, higher FEV1 (SMD: 0.62, 95% CI: 0.32–0.92; p = 0.0001) and improved 6 min walking distances (60.8, 95% CI: 20.96–100.6; p = 0.0033) were found compared to standard management. Conclusions: This review suggests that, depending on the timing of implementation, pulmonary rehabilitation or exercise could produce positive effects on certain clinical variables in lung cancer patients.