In the last decade, the treatment of non-small cell lung cancer (NSCLC) has been revolutionized by the introduction of immune checkpoint inhibitors (ICI) directed against programmed death protein 1 (PD-1) and its ligand (PD-L1), or cytotoxic T lymphocyte antigen 4 (CTLA-4). In spite of these improvements, some patients do not achieve any benefit from ICI, and inevitably develop resistance to therapy over time. Tumor microenvironment (TME) might influence response to immunotherapy due to its prominent role in the multiple interactions between neoplastic cells and the immune system. Studies investigating lung cancer from the perspective of TME pointed out a complex scenario where tumor angiogenesis, soluble factors, immune suppressive/regulatory elements and cells composing TME itself participate to tumor growth. In this review, we point out the current state of knowledge involving the relationship between tumor cells and the components of TME in NSCLC as well as their interactions with immunotherapy providing an update on novel predictors of benefit from currently employed ICI or new therapeutic targets of investigational agents. In first place, increasing evidence suggests that TME might represent a promising biomarker of sensitivity to ICI, based on the presence of immune-modulating cells, such as Treg, myeloid derived suppressor cells, and tumor associated macrophages, which are known to induce an immunosuppressive environment, poorly responsive to ICI. Consequently, multiple clinical studies have been designed to influence TME towards a pro-immunogenic state and subsequently improve the activity of ICI. Currently, the mostly employed approach relies on the association of “classic” ICI targeting PD-1/PD-L1 and novel agents directed on molecules, such as LAG-3 and TIM-3. To date, some trials have already shown promising results, while a multitude of prospective studies are ongoing, and their results might significantly influence the future approach to cancer immunotherapy.