Non-small-cell lung cancer (NSCLC), the most commonly diagnosed cancer and the leading cause of cancer-related death worldwide, has been extensively investigated in the last decade in terms of developing new therapeutic options that increase patient survival. In this context, marine animals are a source of new, interesting bioactive molecules that have been applied to the treatment of different types of cancer. Many efforts have been made to search for new therapeutic strategies to improve the prognosis of lung cancer patients, including new bioactive compounds and cytotoxic drugs from marine sponges. Their antitumoral effect can be explained by several cellular and molecular mechanisms, such as modulation of the cell cycle or induction of apoptosis. Thus, this systematic review aims to summarize the bioactive compounds derived from marine sponges and the mechanisms by which they show antitumor effects against lung cancer, exploring their limitations and the challenges associated with their discovery. The search process was performed in three databases (PubMed, SCOPUS, and Web of Science), yielding a total of 105 articles identified in the last 10 years, and after a screening process, 33 articles were included in this systematic review. The results showed that these natural sponge-derived compounds are a valuable source of inspiration for the development of new drugs. However, more research in this field is needed for the translation of these novel compounds to the clinic.