Lung cancer is one of the leading causes of cancer-related deaths worldwide, with small cell lung cancer (SCLC) having the worst prognosis. SCLC is diagnosed late in the disease’s progression, limiting treatment options. The most common treatment for SCLC is chemotherapy. As the disease progresses, immunotherapy, most commonly checkpoint inhibitor medication, becomes more important. Efforts should be made in the development of immunotherapy to map specific biomarkers, which play a role in properly assigning a type of immunotherapy to the right cohort of patients, where the benefits outweigh any risks or adverse effects. The objective of this review was to provide a thorough assessment of current knowledge about the nature of the tumor process and treatment options for small cell lung cancer, with a focus on predictive biomarkers. According to the information obtained, the greatest potential, which has already been directly demonstrated in some studies, has characteristics such as tumor microenvironment composition, tumor mutation burden, and molecular subtyping of SCLC. Several other aspects appear to be promising, but more research, particularly prospective studies on a larger number of probands, is required. However, it is clear that this field of study will continue to expand, as developing a reliable method to predict immunotherapy response is a very appealing goal of current medicine and research in the field of targeted cancer therapy.