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Introduction: Autoimmune disease has both a predisposing and a protective effect toward malignancy. Though studies have investigated the risk of malignancy in patients with autoimmune disease, there is limited research on how autoimmunity affects survival. Methods: This study compared survival in patients with lung cancer with and without autoimmune disease. Patients with lung cancer were culled from the Surveillance, Epidemiology, and End Results Medicare databases (2007–2014), and autoimmune diseases were identified using diagnosis codes. Results: The overall prevalence of investigated autoimmune diseases among the 112,445 patients was 22.7%. Overall survival (OS) (p < 0.0001) was longer and cancer-specific mortality (CSM) (p < 0.0001) reduced among patients with autoimmune disease. Median OS was 5 months higher. Improved OS and CSM were also apparent in disease stages 1, 3, and 4 in the NSCLC and SCLC subgroups (p < 0.0001) and across most specific autoimmune diseases. After adjusting for the effects of age, sex, race, disease stage, and chronic kidney disease, autoimmune disease was still predictive of higher OS (hazard ratio = 1.23, 95% confidence interval: 1.21–1.25, p < 0.0001) and reduced CSM (hazard ratio = 1.16, 95% confidence interval: 1.14–1.18, p < 0.0001). Conclusions: The prevalence of rheumatoid arthritis, inflammatory bowel disease, and systemic lupus erythematous was highly enriched compared with the general population. The improvement in OS and CSM was larger in NSCLC than in SCLC, suggesting a larger role for the immune system in NSCLC. Alternate explanations for the improved survival include lead time bias, better access to health care, and a survival or autoimmunity-inducing genetic factor.