This study examined the health‐related quality of life (HRQoL) of patients with advanced non‐small cell lung cancer (NSCLC) receiving tislelizumab versus docetaxel in the open‐label, multicenter, Phase 3 trial called RATIONALE‐303 (NCT03358875). HRQoL was assessed with the EORTC QLQ‐C30, EORTC QLQ‐LC13, and the EQ‐5D‐5L instruments. A longitudinal analysis of covariance assessed the change from baseline to Week 12 and from baseline to Week 18. A time to deterioration analysis was also performed using the Kaplan–Meier method. Eight hundred and five patients were randomized to either tislelizumab (n = 535) or docetaxel, respectively (535 and 270 to tislelizumab and docetaxel, respectively). The tislelizumab arm improved while the docetaxel arm worsened in the QLQ‐C30 global health status/QoL scale score (difference LS mean change Week 18: 5.7 [95% CI: 2.38, 9.07, p = 0.0008]), fatigue (Week 12: ‐3.2 [95% CI: −5.95, −0.37, p < 0.0266]; Week 18: −4.9 [95% CI: −8.26, −1.61, p = 0.0037]), and QLQ‐LC13 symptom index score (Week 12: −5.5 [95% CI: −6.93, −4.04, P < 0.0001]; Week 18: −6.6 [95% CI: −8.25, −4.95, p < 0.0001]). The tislelizumab arm had improvements in coughing versus the docetaxel arm (Week 12: −4.7 [95% CI: −8.57, −0.78, p = 0.0188]; Week 18: −8.3 [95% CI: −13.02, −3.51, p = 0.0007]). The patients who received tislelizumab were less at risk for clinically meaningful worsening in the overall lung cancer symptom index scale (hazard ratio (HR): 0.24 [95% CI: 0.162, 0.356], p < 0.0001), dyspnea (HR: 0.74 [95% CI: 0.567, 0.958], p = 0.0109), coughing (HR: 0.74 [95% CI: 0.534, 1.019], p = 0.0309), and peripheral neuropathy (HR: 0.55 [95% CI: 0.370, 0.810] p = 0.0011). In general, tislelizumab versus docetaxel was associated with improved HRQoL and symptoms of lung cancer in patients who previously failed treatment with platinum‐containing chemotherapy.