Simple Summary The aim of this study was to investigate how health-related quality of life at time of diagnosis is associated with the completion of planned first-line oncological treatment among lung cancer patients. Patients with reduced function and patients who reported fatigue, pain, appetite loss, and financial difficulties at time of diagnosis had significantly increased adjusted odds ratios for not completing the planned first-line oncological treatment. Measures of lung cancer patients' self-reported HRQOL as part of the diagnostic evaluation at time of diagnosis may contribute to the optimization of planned oncological treatment. Experts recommend assessing lung cancer patients' health-related quality of life (HRQOL) in the diagnostic evaluation. We investigated the association between HRQOL and completion of first-line treatment among lung cancer patients in a prospective cohort study. Clinical information on lung cancer patients was obtained from medical records, and information on quality of life and lung cancer-related symptoms was obtained through questionnaires at time of diagnosis. We used directed acyclic graphs to identify potential confounders and mediators between HRQOL and completion of first-line treatment. The association between functioning levels and symptoms and completion of first-line oncological treatment was estimated as odds ratios, with 95% confidence intervals, in logistic regression models. In all, 137 patients (52% men, mean age: 69 years) participated, out of 216 invited. Patients who reported reduced functioning had significantly increased ORs for not completing first-line treatment: poor physical function (OR 4.44), role function (OR 6.09), emotional function (OR 5.86), and social function (OR 3.13). Patients with fatigue (OR 7.55), pain (OR 6.07), appetite loss (OR 4.66), and financial difficulties (OR 17.23) had significantly increased ORs for not completing the first-line treatment. Reduced functioning and presence of symptoms were associated with not completing first-line treatment. An assessment of HRQOL could potentially aid the diagnostic evaluation and treatment planning for lung cancer patients.