Objective: Informal caregivers of people with lung cancer often experience a substantial care burden and associated negative consequences due to the often‐contracted course of the disease. The objective of this review was to systematically examine the evidence on the factors associated with lung cancer caregiver distress. Methods: Five databases (MEDLINE, CINAHL, EMBASE, PsychINFO and Web of Science) were searched for studies investigating factors associated with distress amongst caregivers of people with lung cancer. Empirical studies published up to July 2020 were included if they measured distress using a valid and reliable measure and examined its association with at least one other factor, with a sample of 50 or more caregivers. Results: Thirty publications describing 27 studies (16 cross‐sectional; 6 prospective; 8 intervention) involving 3744 caregivers (primarily spouse or adult child) were included. A narrative synthesis of the findings is presented due to heterogeneity in study design, variables measured and analyses conducted. Patient variables associated with greater distress included: stage of cancer and quality of spousal relationship. Caregiver variables associated with higher distress included: social support, coping strategies and self‐efficacy. Conclusions: Several variables were associated with distress amongst lung cancer caregivers. Understanding these variables could inform the development of interventions that will enable caregivers to care effectively while maintaining their own well‐being. Screening for distress among caregivers may identify those caregivers who would benefit from early intervention.