Objective: Cancer patients undergoing chemotherapy commonly experience depression and anxiety, which, along with adverse effects of chemotherapy, inevitably compromise quality of life (QOL) of the patients. The aim of this study was to investigate the effect of a psycho-educational intervention on the quality of life (QOL) of patients with advanced lung cancer undergoing chemotherapy. Methods: Two hundred in-patients with unresectable advanced lung cancer undergoing chemotherapy in Shanxi Cancer Hospital from January to October 2013 were randomized into the intervention group (n = 100) and the control group (n = 100). Patients in the intervention group received a purposely designed and nurse-delivered psycho-educational intervention in addition to routine caring and chemotherapy, whereas those in the control group underwent chemotherapy and routine caring only. QOL of patients was assessed according to QOL instrument for lung cancer (QLICP-LU). The impact of the psycho-educational intervention on QOL was analyzed using independent-sample t test and χ2 test. Results: The psychological, physical, and social function, and the overall QOL scores were significantly improved in patients who received the psycho-educational intervention compared with those in the control group. Conclusions: A nurse-delivered psycho-educational intervention is a useful strategy to improve QOL of patients with advanced lung cancer undergoing chemotherapy.