A lane keeping system is disclosed for use with a mobile machine. The lane keeping system may have a locating device positioned onboard the mobile machine that is configured to generate a location signal indicative of a location of the mobile machine at a worksite. The lane keeping system may also have an alarm positioned onboard the mobile machine, and a controller in communication with the locating device and the alarm. The controller may be configured to determine locations of multiple distal points of the mobile machine based on the location signal, and to make a comparison of the locations with boundaries of at least one established lane at the worksite. The controller may also be configured to selectively activate the alarm based on the comparison when the multiple distal points straddle at least one of the boundaries of the at least one established lane.