Background: Lung cancer is a very common disease and leads to a series of sequelae such as reduced lung capacity or reduced functional capacity in patients, which are associated not only with the disease itself, but also with medical treatment. Thus, physiotherapeutic interventions are needed to improve quality of life and reduce these symptoms. Objectives: To find out the effects of physiotherapy on functional capacity, lung capacity, dyspnea, pain, and quality of life in lung cancer patients. Methods: A systematic review was carried out in five databases. Randomized clinical trials published between 2019–2023 were selected, in which the physiotherapeutic treatment was physical exercise and/or respiratory physiotherapy. Results: Nine articles were included, in which the total sample consisted of 635 lung cancer patients. When combined, respiratory physiotherapy and physical exercise improved functional capacity and lung capacity (p < 0.05). Dyspnea also improved, but less significance was shown in the included studies. Conclusions: Multimodal physiotherapy interventions may offer benefits for some lung cancer patients, but the extent and nature of these benefits may vary depending on the intervention applied. Therefore, it would be of great interest to carry out further scientific research to support this conclusion.