Objective: Few economic evaluations of lung cancer rehabilitation exist. The aim of this study was to assess the cost-effectiveness of providing home-based rehabilitation for inoperable lung cancer. Methods: A cost-utility analysis alongside a randomised controlled trial (RCT) of rehabilitation compared with usual care. The primary outcome was quality-adjusted life years (QALYs) gained. The incremental cost-effectiveness ratio [ICER (95% CI)] and the net monetary benefit are reported. Value of information (VOI) analysis assessed the need/value of more research. Results: Seventy participants (34 intervention and 36 usual care), average (SD) age 63.0 (12.0) years, 32 (45.7%) stage IV. The average intervention cost was AU$3421 (AU$5352 usual care), and effect (QALY) was 0.30 (0.31 usual care). The ICER was AU$228,197 (−1,173,194 to 1,101,450) per QALY gained. The net monetary benefit was AU$1508, favouring the intervention. The probability that the intervention was more cost-effective than usual care, at a willingness to pay threshold of AU$50,000, was 75%. VOI analysis showed that additional research to resolve decision uncertainty is potentially worthwhile. Conclusion: A high degree of uncertainty exists regarding the cost-effectiveness of lung cancer rehabilitation. Further RCTs, powered for economic evaluations and utilising rehabilitation sensitive outcomes, are required to support translation of evidence into clinical practice.