Lung cancer prognosis has improved in the last decade, including in patients with brain metastasis. However, few of these patients who receive corticosteroids have a primary prophylaxis for Pneumocystis jirovecii pneumonia (PJP). We report the case of an 80-year-old man diagnosed with non-small cell lung cancer and concomitant symptomatic brain metastases, treated with 50 mg/day of prednisolone without any prophylaxis, who presented an acute PJP. After 72 hours of unsuccessful treatment of PJP, the patient died. In our review of this case and the existing literature, we emphasise the importance of a wide use of prophylaxis for PJP, especially in advanced lung cancer treated with corticosteroid therapy. We discuss this issue and report current evidence for primary prophylaxis by trimethoprim–sulfamethoxazole.