(1) Background: The association between metabolic obesity phenotypes and incident lung cancer (LC) remains unclear. (2) Methods: Based on the combination of baseline BMI categories and metabolic health status, participants were categorized into eight groups: metabolically healthy underweight (MHUW), metabolically unhealthy underweight (MUUW), metabolically healthy normal (MHN), metabolically unhealthy normal (MUN), metabolically healthy overweight (MHOW), metabolically unhealthy overweight (MUOW), metabolically healthy obesity (MHO), and metabolically unhealthy obesity (MUO). The Cox proportional hazards model and Mendelian randomization (MR) were applied to assess the association between metabolic obesity phenotypes with LC risk. (3) Results: During a median follow-up of 9.1 years, 3654 incident LC patients were confirmed among 450,482 individuals. Compared with participants with MHN, those with MUUW had higher rates of incident LC (hazard ratio (HR) = 3.24, 95% confidence interval (CI) = 1.33-7.87, p = 0.009). MHO and MHOW individuals had a 24% and 18% lower risk of developing LC, respectively (MHO: HR = 0.76, 95% CI = 0.61-0.95, p = 0.02; MHO: HR = 0.82, 95% CI = 0.70-0.96, p = 0.02). No genetic association of metabolic obesity phenotypes and LC risk was observed in MR analysis. (4) Conclusions: In this prospective cohort study, individuals with MHOW and MHO phenotypes were at a lower risk and MUUW were at a higher risk of LC. However, MR failed to reveal any evidence that metabolic obesity phenotypes would be associated with a higher risk of LC.