Small-cell lung cancer is an extremely chemo-sensitive disease; the addition of immunotherapy to chemotherapy has demonstrated a slight clinical benefit in pivotal trials, even with a statistically significant difference in terms of survival outcomes when compared to chemotherapy alone. In this scenario, the role of radiotherapy as a consolidation treatment in thoracic disease or as a prophylactic therapy in the brain should be clarified. In addition, due to the frailty and the poor prognostic characteristics of these patients, the need for predictive biomarkers that could support the use of immunotherapy is crucial. PD-L1 and TMB are not actually considered definitive biomarkers due to the heterogeneity of results in the literature. A new molecular classification of small-cell lung cancer based on the expression of key transcription factors seems to clarify the disease behavior, but the knowledge of this molecular subtype is still insufficient and the application in clinical practice far from reality; this classification could lead to a better understanding of SCLC disease and could provide the right direction for more personalized treatment. The aim of this review is to investigate the current knowledge in this field, evaluating whether there are predictive biomarkers and clinical patient characteristics that could help us to identify those patients who are more likely to respond to immunotherapy.