The aim of this review is to provide a comprehensive overview of the existing literature concerning the applications of positron emission tomography (PET) radiomics in lung cancer patient candidates or those undergoing immunotherapy. Materials and Methods: A systematic review was conducted on databases and web sources. English-language original articles were considered. The title and abstract were independently reviewed to evaluate study inclusion. Duplicate, out-of-topic, and review papers, or editorials, articles, and letters to editors were excluded. For each study, the radiomics analysis was assessed based on the radiomics quality score (RQS 2.0). The review was registered on the PROSPERO database with the number CRD42023402302. Results: Fifteen papers were included, thirteen were qualified as using conventional radiomics approaches, and two used deep learning radiomics. The content of each study was different; indeed, seven papers investigated the potential ability of radiomics to predict PD-L1 expression and tumor microenvironment before starting immunotherapy. Moreover, two evaluated the prediction of response, and four investigated the utility of radiomics to predict the response to immunotherapy. Finally, two papers investigated the prediction of adverse events due to immunotherapy. Conclusions: Radiomics is promising for the evaluation of TME and for the prediction of response to immunotherapy, but some limitations should be overcome.