BACKGROUND: Although exercise has been addressed as an adjuvant treatment for anxiety, depression and cancer-related symptoms, limited studies have evaluated the effectiveness of exercise in patients with lung cancer. METHODS: We recruited 116 patients from a medical centre in northern Taiwan, and randomly assigned them to either a walking-exercise group (n=58) or a usual-care group (n=58). We conducted a 12-week exercise programme that comprised home-based, moderate-intensity walking for 40 min per day, 3 days per week, and weekly exercise counselling. The outcome measures included the Hospital Anxiety and Depression Scale and the Taiwanese version of the MD Anderson Symptom Inventory. RESULTS: We analysed the effects of the exercise programme on anxiety, depression and cancer-related symptoms by using a generalised estimating equation method. The exercise group patients exhibited significant improvements in their anxiety levels over time (P=0.009 and 0.006 in the third and sixth months, respectively) and depression (P=0.00006 and 0.004 in the third and sixth months, respectively) than did the usual-care group patients. CONCLUSIONS: The home-based walking exercise programme is a feasible and effective intervention method for managing anxiety and depression in lung cancer survivors and can be considered as an essential component of lung cancer rehabilitation.