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Purpose: Physical activity (PA) plays an important role in health outcomes for people with cancer, and pre-diagnosis PA influences PA behaviors after cancer treatment. Less is known about the PA of lung cancer patients, and the strong history of smoking could influence pre-diagnosis levels of PA and place them at risk for health problems. This study aimed to compare pre-diagnosis PA and its correlates in patients with lung cancer and other types of cancer (female breast, colorectal, and prostate cancer) and examine the relationship between pre-diagnosis PA and all-cause mortality. Methods: This study used data from the UK Biobank, which is a national cohort study with accelerometry data. We included 2662 participants and used adjusted linear regressions and survival analyses. Results: Male and female lung cancer groups spent a mean of 78 and 91 min/day in pre-diagnosis moderate to vigorous PA (MVPA), respectively; this is lower than the 3 other types of cancer (p < 0.001). Younger age and faster walking pace had a strong association with PA in all the four types of cancer (p < 0.01). Smoking status had a strong association with PA in the lung cancer group, while obesity had a strong association with PA in female breast, colorectal, and prostate cancer (p < 0.01). Higher levels of pre-diagnosis MVPA (≥1.5 h/day) were associated with a significantly lower all-cause mortality risk. Conclusions: The present study suggests that lung cancer patients are the most inactive population before diagnosis. The identified difference in correlates of PA suggest that cancer-specific approaches are needed in PA research and practices. This study also highlights the importance of high PA for individuals with high cancer risk.