Pituitary adenoma (PA) is prevalent in the general population. Due to its severe complications and aggressive infiltration into the surrounding brain structure, the effective management of PA is required. Till now, no drug has been approved for treating non-functional PA, and the removal of cancerous cells from the pituitary is still under experimental investigation. Due to its superior specificity and safety profile, immunotherapy stands as one of the most promising strategies for dealing with PA refractory to the standard treatment, and various studies have been carried out to discover immune-related gene markers as target candidates. However, the lists of gene markers identified among different studies are reported to be highly inconsistent because of the greatly limited number of samples analyzed in each study. It is thus essential to substantially enlarge the sample size and comprehensively assess the robustness of the identified immune-related gene markers. Herein, a novel strategy of direct data integration (DDI) was proposed to combine available PA microarray datasets, which significantly enlarged the sample size. First, the robustness of the gene markers identified by DDI strategy was found to be substantially enhanced compared with that of previous studies. Then, the DDI of all reported PA-related microarray datasets were conducted to achieve a comprehensive identification of PA gene markers, and 66 immune-related genes were discovered as target candidates for PA immunotherapy. Finally, based on the analysis of human protein–protein interaction network, some promising target candidates (GAL, LMO4, STAT3, PD-L1, TGFB and TGFBR3) were proposed for PA immunotherapy. The strategy proposed together with the immune-related markers identified in this study provided a useful guidance for the development of novel immunotherapy for PA.