Brain metastases (BMs) are the most common intracranial tumours in adults and occur up to 3–10 times more frequently than primary brain tumours. BMs may be the cause of the neurological presenting symptoms in patients with otherwise previously undiagnosed cancer. In up to 15% of patients with BMs, the primary tumour cannot be identified. These cases are known as BM of cancer of unknown primary (CUP) (BM-CUP). CUP has an early and aggressive metastatic spread, poor response to chemotherapy, and poor prognosis. The pathogenesis of CUP seems to be characterized by a specific underlying pro-metastatic signature. The understanding of BM-CUP, despite its relative frequency and unfavourable outcome, is still incomplete and clear indications on management are missing. Advances in diagnostic tools, molecular characterization, and target therapy have shifted the paradigm in the approach to metastasis from CUP: while earlier studies stressed the importance of finding the primary tumour and deciding on treatment based on the primary diagnosis, most recent studies focus on the importance of identifying targetable molecular markers in the metastasis itself. The aim of this review is to summarize current evidence on BM-CUP, from the diagnosis and pathogenesis to the treatment, with a focus on available studies and ongoing clinical trials.