Lung cancer is the most prevalent cancer in the world. Few effective and cheap methods are available so far for early detection and screening of lung cancer. Although histological and cytological examinations are gold standards in lung cancer diagnosis, patients are always at late stages when diagnosis is confirmed. Therefore, new diagnostic methods are needed urgently to increase the early diagnostic rate, enhance the confirmed diagnostic rate, and reduce mortality. The SHOX2 gene methylation assay has become a promising option for the above purposes. It has been shown to enhance the confirmed diagnostic rate of lung cancer in several clinical trials when combined with histological or cytological assays, and has the potential to become an early diagnostic tool. This article reviews the outcome of clinical trials using the SHOX2 gene methylation assay alone or in combination with other examinations, and suggests its future applications and research directions.