Symptomatic malignant pleural effusion is a common clinical problem. This condition is associated with very high mortality, with life expectancy ranging from 3 to 12 months. Studies are contributing evidence on an increasing number of therapeutic options (therapeutic thoracentesis, thoracoscopic pleurodesis or thoracic drainage, indwelling pleural catheter, surgery, or a combination of these therapies). Despite the availability of therapies, the management of malignant pleural effusion is challenging and is mainly focused on the relief of symptoms. The therapy to be administered needs to be designed on a case-by-case basis considering patient’s preferences, life expectancy, tumour type, presence of a trapped lung, resources available, and experience of the treating team. At present, the management of malignant pleural effusion has evolved towards less invasive approaches based on ambulatory care. This approach spares the patient the discomfort caused by more invasive interventions and reduces the economic burden of the disease. A review was performed of the diagnosis and the different approaches to the management of malignant pleural effusion, with special emphasis on their indications, usefulness, cost-effectiveness, and complications. Further research is needed to shed light on the current matters of controversy and help establish a standardized, more effective management of this clinical problem.