The identification of markers of inflammatory activity at the early stages of pulmonary diseases which share common characteristics that prevent their clear differentiation is of great significance to avoid misdiagnosis, and to understand the intrinsic molecular mechanism of the disorder. The combination of electrophoretic/chromatographic methods with mass spectrometry is currently a promising approach for the identification of candidate biomarkers of a disease. Since the fluid phase of sputum is a rich source of proteins which could provide an early diagnosis of specific lung disorders, it is frequently used in these studies. This report focuses on the state-of-the-art of the application, over the last ten years (2011–2021), of sputum proteomics in the investigation of severe lung disorders such as COPD; asthma; cystic fibrosis; lung cancer and those caused by COVID-19 infection. Analysis of the complete set of proteins found in sputum of patients affected by these disorders has allowed the identification of proteins whose levels change in response to the organism’s condition. Understanding proteome dynamism may help in associating these proteins with alterations in the physiology or progression of diseases investigated.