Infectious diseases represent a relevant issue in lung cancer patients. Bacterial and viral infections might influence the patients’ prognosis, both directly affecting the immune system and indirectly impairing the outcome of anticancer treatments, mainly immunotherapy. In this analysis, we aimed to review the current evidence in order to clarify the complex correlation between infections and lung cancer. In detail, we mainly explored the potential impact on immunotherapy outcome/safety of (1) bacterial infections, with a detailed focus on antibiotics; and (2) viral infections, discriminating among (a) human immune-deficiency virus (HIV), (b) hepatitis B/C virus (HBV-HCV), and (c) Sars-Cov-2. A series of studies suggested the prognostic impact of antibiotic therapy administration, timing, and exposure ratio in patients treated with immune checkpoint inhibitors, probably through an antibiotic-related microbiota dysbiosis. Although cancer patients with HIV, HBV, and HCV were usually excluded from clinical trials evaluating immunotherapy, some retrospective and prospective trials performed in these patient subgroups reported similar results compared to those described in not-infected patients, with a favorable safety profile. Moreover, patients with thoracic cancers are particularly at risk of COVID-19 severe outcomes and mortality. Few reports speculated about the prognostic implications of anticancer therapy, including immunotherapy, in lung cancer patients with concomitant Sars-Cov-2 infection, showing, to date, inconsistent results. The correlation between infectious diseases and immunotherapy remains to be further explored and clarified in the context of dedicated trials. In clinical practice, the accurate and prompt multidisciplinary management of lung cancer patients with infections should be encouraged in order to select the best treatment options for these patients, avoiding unexpected toxicities, while maintaining the anticancer effect.