Objective The purpose of this meta-analysis was to estimate the effect of exercise interventions on anxiety and depression in patients with lung cancer through the analysis of randomized controlled trials (RCTs). Methods Meta-Analyses (PRISMA) guidelines were followed. The meta-analysis was conducted in three databases from inception to May 2022. The investigation focused on assessing the impacts exercise interventions on patients with lung cancer, specifically examing RCTs that reported outcomes related to anxiety and depression. Effect sizes were calculated by standardized mean difference (SMD) with 95% confidence interval (CI)statistics. Additionally, subgroup analyses and sensitivity analyses were conducted. Results Eleven RCTs involving a total of 987 participants were included in this analysis. The results demonstrated that exercise interventions significantly decreased levels of anxiety (SMD = - 0.65; 95% CI [- 1.79, - 0.52], P = 0.0004) and depression (SMD = - 0.82; 95% CI [- 1.16, - 0.47]; P < 0.01). A subgroup analysis of anxiety, using the HADS scale, showed no heterogeneity (SMD = - 0.23, 95% CI [- 0.45, - 0.02], I2 = 0%). Similarly, for depression, the subgroup analysis showed no heterogeneity (SMD = - 0.53, 95% CI [- 0.75, - 0.31]; P < 0.01; I2 = 0%). Results of subgroup analyses using the SAS (I2 = 90%) and SDS scale (I2 = 92%) showed heterogeneity among studies; however, the scale itself was not a source of heterogeneity. Regarding sensitivity analyses for anxiety and depression, they were all statistically robust. Conclusion In summary, the present meta-analysis suggests that exercise interventions may reduce anxiety and depression levels in patients with lung cancer. The exercise programs included in this trial were associated with less anxiety and depression levels.