Background: It is unclear whether patients with cancer experience greater distress as a result of the COVID-19 pandemic. Thus, we assessed the relationship of the COVID-19 pandemic with quality of life (QOL) and depression symptoms in patients newly diagnosed with advanced lung cancer. Methods: We conducted a cross-sectional study of patients with advanced lung cancer enrolled in two multisite randomized supportive care trials. We enrolled adult patients within 12 weeks of diagnosis of advanced lung cancer and an Eastern Cooperative Oncology Group (ECOG) Performance Status from 0 to 3 across 23 institutions in the United States. At the time of enrollment, participants completed the Functional Assessment of Cancer Therapy-Lung (FACT-L), which includes four wellbeing subscales (i.e., physical, social, emotional, and functional) as well as lung cancer symptoms, and the Patient Health Questionnaire-9 (PHQ-9) to assess their QOL and depression symptoms, respectively. We compared QOL and depression symptoms between participants enrolled prior to COVID-19 (i.e., those enrolled in the following time periods: March 2018 to January 2019 and March 2019 to January 2020) and during the COVID-19 pandemic (March 2020 to January 2021). We used linear regression models adjusting for age, race, gender, and time since diagnosis of advanced cancer to examine the relationship between the period of enrollment and patients’ QOL and depression symptoms. Results: A total of 860 patients were included in this analysis (665 participants enrolled prior to COVID-19 and 195 participants during COVID-19). The two cohorts did not differ significantly with respect to baseline demographic factors [Mean age 65.4 (SD = 11.4), 51.9% female]. In multivariate regression models, enrollment during COVID-19 was not associated with physical (B = -0.16, SE = 0.52, P = 0.763), social (B = -0.48, SE = 0.39, P = 0.217), emotional (B = -0.16, SE = 0.41, P = 0.693), functional (B = -0.83, SE = 0.55, P = 0.128) wellbeing, or lung cancer symptoms (B = -0.11, SE = 0.44, P = 0.806). Enrollment during COVID-19 was not associated with overall QOL (FACT-L: B = -1.32, SE = 1.69, P = 0.436) or depression symptoms (PHQ-9: B = -0.02, SE = 0.45, P = 0.973). Conclusions: Despite the prevailing belief that COVID-19 has negatively impacted QOL and distress in patients with cancer, we found no differences in QOL or depression symptoms in patients newly diagnosed with advanced lung cancer during the COVID-19 pandemic compared to those diagnosed prior to the pandemic. These findings suggest that factors other than the COVID-19 pandemic, such as patients’ experience with their cancer, contribute to their QOL and depression symptoms.