Original: Tests run in 87ms

newone = type(self)()
newone.__dict__.update(self.__dict__)
for key, value in self.__dict__.items():
    if isinstance(value, (set, list)):
        newone.__dict__[key] = type(value)(x for x in value)

Optimization 1: Tests run in 73ms (~19% speedup)

Use __new__ instead of __init__ because we are going to clobber its state
Use copy() (shallow copy) which is supported on both sets and lists and faster than a comprehension

newone = type(self).__new__(type(self))
newone.__dict__.update(self.__dict__)
for key, value in self.__dict__.items():
    if isinstance(value, (set, list)):
        newone.__dict__[key] = copy(value)

Optimization 2: Tests run in 67ms (30% speedup) INVALID

Unroll the loop

newone = type(self).__new__(type(self))
newone.__dict__.update(self.__dict__)
newone._select_star_tables = copy(self._select_star_tables)
newone._from = copy(self._from)
newone._with = copy(self._with)
newone._selects = copy(self._selects)
newone._columns = copy(self._columns)
newone._values = copy(self._values)
newone._groupbys = copy(self._groupbys)
newone._orderbys = copy(self._orderbys)
newone._joins = copy(self._joins)
newone._unions = copy(self._unions)
newone._updates = copy(self._updates)

Invalid due to subclasses do define extra lists. And the unrolled variant doesn't copy everything it needs.

Optimization 2b: Tests run in 67ms (~30% speedup)

Same as Opt2, but subclasses that define lists (MySQLQueryBuilder & PostgreQueryBuilder only)

newone = super(MySQLQueryBuilder, self).__copy__()
newone._duplicate_updates = copy(self._duplicate_updates)

For Opt 1:
When running the benchmark suite for Tortoise ORM, two of the benchmarks get a 6% and 9% performance increase respectively.

For Opt2b:
When running the benchmark suite for Tortoise ORM, two of the benchmarks get a 12% and 15% performance increase respectively.

Due to the perf increase for Opt2a being noticeably better than Opt1, I opted to go with that

I had to use copy.copy() instead of <list/set>.copy() for Py2.7 compatibility reasons.