The albumin-to-alkaline phosphatase ratio (AAPR) is a novel promising prognostic marker in cancer patients. However, the evidence for its significance in lung cancer is scarce. Therefore, we assessed the prognostic value of the AAPR in a large cohort of lung cancer patients. Data on lung cancer patients diagnosed from January 2009 to June 2018 were extracted from the Danish Lung Cancer Registry and combined with data on the pretreatment serum AAPR level extracted from the clinical laboratory information system (LABKA). AAPR tertiles were applied as cutoffs. Cox proportional hazard models assessed the prognostic value of the AAPR. In total, 5978 non-small cell lung cancer (NSCLC) patients and 1099 small cell lung cancer (SCLC) patients were included. Decreasing AAPR level was significantly associated with declining median overall survival (OS) in NSCLC patients (medium vs. low AAPR, adjusted HR = 0.73 (95% confidence interval (CI) 0.68–0.79); high vs. low AAPR, adjusted HR = 0.68 (95% CI 0.62–0.73)) and in SCLC patients (medium vs. low AAPR, adjusted HR = 0.62 (95% CI 0.52–0.74); high vs. low, adjusted HR = 0.59 (95% CI 0.50–0.70)). In conclusion, the AAPR was an independent prognostic factor in NSCLC and SCLC patients. The correlation seems to be level dependent, with reducing survival found to be associated with decreasing AAPR level.