Research conducted predominantly in male populations on physical activity and lung cancer has yielded inconsistent results. We examined this relationship among 416,277 men and women from the European Prospective Investigation into Cancer and Nutrition (EPIC). Detailed information on recent recreational, household and occupational physical activity, smoking habits and diet was assessed at baseline between 1992 and 2000. Relative risks (RR) were estimated using Cox regression. During 6.3 years of follow-up we identified 607 men and 476 women with incident lung cancer. We did not observe an inverse association between recent occupational, recreational or household physical activity and lung cancer risk in either males or females. However, we found some reduction in lung cancer risk associated with sports in males (adjusted RR = 0.71; 95% confidence interval 0.50-0.98; highest tertile vs. inactive group), cycling (RR = 0.73; 0.54-0.99) in females and non-occupational vigorous physical activity. For occupational physical activity, lung cancer risk was increased for unemployed men (adjusted RR = 1.57; 1.20-2.05) and men with standing occupations (RR = 1.35; 1.02-1.79) compared with sitting professions. There was no evidence of heterogeneity of physical activity associations across countries, or across any of the considered cofactors. For some histologic subtypes suggestive sex-specific reductions, limited by subgroup sizes, were observed, especially with vigorous physical activity. In total, our study shows no consistent protective associations of physical activity with lung cancer risk. It can be assumed that the elevated risks found for occupational physical activity are not produced mechanistically by physical activity itself but rather reflect exposure to occupation-related lung cancer risk factors.