Cigarette smoke (CS) causes adverse health effects and, for smoker who do not quit, modified risk tobacco products (MRTPs) can be an alternative to reduce the risk of developing smoking-related diseases. Standard toxicological endpoints can lack sensitivity, with systems toxicology approaches yielding broader insights into toxicological mechanisms. In a 6-month systems toxicology study on ApoE−/− mice, we conducted an integrative multi-omics analysis to assess the effects of aerosols from the Carbon Heated Tobacco Product (CHTP) 1.2 and Tobacco Heating System (THS) 2.2—a potential and a candidate MRTP based on the heat-not-burn (HnB) principle— compared with CS at matched nicotine concentrations. Molecular exposure effects in the lungs were measured by mRNA/microRNA transcriptomics, proteomics, metabolomics, and lipidomics. Integrative data analysis included Multi-Omics Factor Analysis and multi-modality functional network interpretation. Across all five data modalities, CS exposure was associated with an increased inflammatory and oxidative stress response, and lipid/surfactant alterations. Upon HnB aerosol exposure these effects were much more limited or absent, with reversal of CS-induced effects upon cessation and switching to CHTP 1.2. Functional network analysis revealed CS-induced complex immunoregulatory interactions across the investigated molecular layers (e.g., itaconate, quinolinate, and miR-146) and highlighted the engagement of the heme–Hmox–bilirubin oxidative stress axis by CS. This work exemplifies how multi-omics approaches can be leveraged within systems toxicology studies and the generated multi-omics data set can facilitate the development of analysis methods and can yield further insights into the effects of toxicological exposures on the lung of mice.