Dyspnea, a prevalent and debilitating symptom in patients with advanced lung cancer, negatively affects symptom burden and prognosis. Physical activity has emerged as a promising non-pharmacological intervention for managing dyspnea. This study compared the effectiveness of two widely-recognized physical activity modalities, namely Tai Chi (TC) and aerobic exercise (AE) for treating dyspnea in patients with advanced lung cancer. Patients with advanced lung cancer (n=226) were randomized into TC, AE, or control groups. There was no baseline dyspnea requirement for patients. The AE group received two 60-minute supervised sessions and home-based exercises per month, the TC group received 60-minute sessions twice weekly, and the control group received exercise guidelines for 16 weeks. The primary outcome (sleep quality) of the study has been previously reported. In this secondary analysis, we focused on dyspnea outcomes, including overall and lung cancer-specific dyspnea. Assessments were conducted at baseline (T0), 16 weeks (T1), and one year (T2). Compared to the control group, TC significantly improved overall dyspnea at T1 (between-group difference, −8.69; P=0.03) and T2 (between-group difference, −11.45; P=0.01), but not AE. Both AE (between-group difference, −11.04; P=0.01) and TC (between-group difference, −14.19; P<0.001) significantly alleviated lung cancer-specific dyspnea at T2 compared with the control group. Both TC and AE alleviate dyspnea severity in patients with advanced lung cancer, and continuous exercise can yield substantial improvements. Due to its multi-component nature, Tai Chi has a greater effect on dyspnea.