Adenohypophysal pituitary tumors account for 10–15% of all intracranial tumors, and 25–55% display signs of invasiveness. Nevertheless, oncology still relies on histopathological examination to establish the diagnosis. Considering that the classification of pituitary tumors has changed significantly in recent years, we discuss the definition of aggressive and invasive tumors and the latest molecular criteria used for classifying these entities. The pituitary tumor microenvironment (TME) is essential for neoplastic development and progression. This review aims to reveal the impact of TME characteristics on stratifying these tumors in view of finding appropriate therapeutic approaches. The role of the pituitary tumor microenvironment and its main components, non-tumoral cells and soluble factors, has been addressed. The variable display of different immune cell types, tumor-associated fibroblasts, and folliculostellate cells is discussed in relation to tumor development and aggressiveness. The molecules secreted by both tumoral and non-tumoral cells, such as VEGF, FGF, EGF, IL6, TNFα, and immune checkpoint molecules, contribute to the crosstalk between the tumor and its microenvironment. They could be considered potential biomarkers for diagnosis and the invasiveness of these tumors, together with emerging non-coding RNA molecules. Therefore, assessing this complex network associated with pituitary neuroendocrine tumors could bring a new era in diagnosing and treating this pathology.