After several decades without maintained responses or long-term survival of patients with lung cancer, novel therapies have emerged as a hopeful milestone in this research field. The appearance of immunotherapy, especially immune checkpoint inhibitors, has improved both the overall survival and quality of life of patients, many of whom are diagnosed late when classical treatments are ineffective. Despite these unprecedented results, a high percentage of patients do not respond initially to treatment or relapse after a period of response. This is due to resistance mechanisms, which require understanding in order to prevent them and develop strategies to overcome them and increase the number of patients who can benefit from immunotherapy. This review highlights the current knowledge of the mechanisms and their involvement in resistance to immunotherapy in lung cancer, such as aberrations in tumor neoantigen burden, effector T-cell infiltration in the tumor microenvironment (TME), epigenetic modulation, the transcriptional signature, signaling pathways, T-cell exhaustion, and the microbiome. Further research dissecting intratumor and host heterogeneity is necessary to provide answers regarding the immunotherapy response and develop more effective treatments for lung cancer.