CONTEXT: Dyspnea is a complex, multidimensional symptom comprising sensory-perceptual, affective, and functional domains that commonly persists in patients with lung cancer and impairs mental health and quality of life (QOL). However, data are lacking on how dyspnea's dimensions or self-efficacy to manage dyspnea are associated with patient outcomes. OBJECTIVES: To assess the associations of dyspnea dimensions (dyspnea-related sensory-perceptual experience, affective distress, and functional impact) and dyspnea self-efficacy with depression, anxiety, and QOL in patients with advanced lung cancer reporting dyspnea. METHODS: We conducted a secondary analysis of baseline clinical trial data testing a supportive care intervention for dyspnea. Patients with advanced lung cancer reporting at least moderate dyspnea (≥2 on the Modified Medical Research Council Dyspnea Scale) self-reported dyspnea and patient outcome measures. Hierarchical regressions tested the associations of the dyspnea dimensions with depressive and anxiety symptoms (Hospital Anxiety and Depression Scale) and QOL (Functional Assessment of Cancer Therapy-Lung) while adjusting for variables known to affect these outcomes. RESULTS: The sensory-perceptual experience of dyspnea (effort) was associated with worse depressive symptoms (b = 0.21, P < 0.01) and QOL (b = -0.53, P = 0.01). Dyspnea self-efficacy was associated with improved depressive (b = -1.26, P < 0.01) and anxiety symptoms (b = -1.72, P < 0.01) and QOL (b = 3.66, P < 0.01). The affective and functional dimensions of dyspnea were not associated with the patient outcomes in the final models. CONCLUSIONS: Dyspnea-related sensory-perceptual experience and self-efficacy were associated with mental health and QOL outcomes in patients with lung cancer. Examining the individual contributions of dyspnea's multiple dimensions provides a nuanced understanding of its patient impact.