To investigate the independent and joint associations of blood lipids and lipoproteins with lung cancer risk in Chinese males, a prospective cohort study was conducted. A total of 109,798 males with baseline information on total cholesterol (TC), triglycerides (TG), low‐density lipoprotein cholesterol (LDL‐C), high‐density lipoprotein cholesterol (HDL‐C) and non‐HDL were prospectively observed from 2006 to 2015 for cancer incidence. Cox proportional hazards models and restricted cubic spline (RCS) analysis were used to estimate hazard ratios (HRs) and 95% confidence intervals (CIs). During a 9‐year follow‐up, a total of 986 lung cancer cases were identified. Multivariable analyses showed that both males with low TC (HRQ1vs.Q2 = 1.27, 95%CI: 1.02–1.60) and males with high TC (HRQ5vs.Q2 = 1.30, 95%CI: 1.04–1.63) had an increased lung cancer risk, and the U‐shaped association was also revealed in the RCS analysis (poverall = 0.013, pnonlinear = 0.006). Furthermore, both low TG (HRQ1vs.Q2 = 1.24, 95%CI: 0.99–1.54) and high TG (HRQ5vs.Q2 = 1.27, 95%CI: 1.01–1.59) were associated with increased lung cancer risk, while low LDL‐C (HRQ1vs.Q2 = 1.38, 95%CI: 1.11–1.72) was associated with increased lung cancer risk. When TC, TG and LDL‐C were considered jointly, the number of abnormal indicators was linearly associated with an increased risk of lung cancer (ptrend < 0.001), as subjects with three abnormal indicators had a twofold higher risk of developing lung cancer (HR = 2.02, 95%CI: 1.62–2.54). Notably, these associations were statistically significant among never smokers, never drinkers and overweight/obese males. These findings suggest that dyslipidemia may potentially be a modifiable risk factor that has key scientific and clinical significance for lung cancer prevention.