Acquired resistance to tyrosine kinase inhibitors (TKIs) limits the duration of antitumor effects and impairs the survival of patients with oncogene-driven non-small cell lung cancer (NSCLC). At present, little is known about the immunomodulatory ability of TKIs during the entire treatment period, including the drug-sensitive and drug-resistant periods. The present review aimed to comprehensively explore the dynamic changes in the tumor microenvironment (TME) during TKI treatment in NSCLC. Previous clinical and preclinical studies from medical and health databases related to NSCLC are reviewed. During the response period, cytotoxic immune cells accumulate in the TME and contribute to the formation of an inflammatory microenvironment. During the resistance period, the number of immunosuppressive cells increases, as does the expression of immune checkpoint proteins, which are critical mechanisms for tumor progression. The combination of targeted therapy and immunotherapy has been explored in multiple studies, and preliminary data showed controversial results. Extensive studies are needed to confirm the criteria of the selected patient subgroups and the toxicity profiles of EGFR TKIs and immune checkpoint inhibitors (ICIs). At present, the reagents targeting other immune cells, cytokines and related pathways remain underexplored compared with the revolutionary effect of ICIs in lung cancer. In the future, the precisely selected regimens for combination treatment should be further investigated in carefully designed xenograft models and clinical trials.