Lung cancers are mainly composed of epithelial tumors such as carcinomas. Since mesenchymal tumors that arise in the lung are very rare, they have garnered little attention. The 2015 World Health Organization (WHO) classification of lung tumors has undergone revision, not only for carcinomas but also for mesenchymal tumors. The current version now includes PEComatous tumors, myoepithelial tumors, and pulmonary myxoid sarcomas with EWSR1-CREB1 translocation as new disease entities. To date, no review article has comprehensively summarized what is known about pulmonary mesenchymal tumors in accordance with the latest WHO classification. In this review, we attempt to summarize the data about these tumors in line with the 2015 WHO classification (except for pediatric tumors), focusing on their diagnostic pathology, molecular pathogenesis, and identified biomarkers for differential diagnoses. We also address the recently recognized pulmonary mesenchymal tumors that have not yet been included in the WHO classification. An increased understanding of the molecular characteristics of pulmonary mesenchymal tumors has the potential to provide clinicians with the best therapeutic options for patients with these tumors.