Immune microenvironment and immunotherapy have become the focus and frontier of tumor research, and the immune checkpoint inhibitors has provided novel strategies for tumor treatment. Malignant pleural effusion (MPE) is a common end-stage manifestation of lung cancer, malignant pleural mesothelioma and other thoracic malignancies, which is invasive and often accompanied by poor prognosis, affecting the quality of life of affected patients. Currently, clinical therapy for MPE is limited to pleural puncture, pleural fixation, catheter drainage, and other palliative therapies. Immunization is a new direction for rehabilitation and treatment of MPE. The effusion caused by cancer cells establishes its own immune microenvironment during its formation. Immune cells, cytokines, signal pathways of microenvironment affect the MPE progress and prognosis of patients. The interaction between them have been proved. The relevant studies were obtained through a systematic search of PubMed database according to keywords search method. Then through screening and sorting and reading full-text, 300 literatures were screened out. Exclude irrelevant and poor quality articles, 238 literatures were cited in the references. In this study, the mechanism of immune microenvironment affecting malignant pleural effusion was discussed from the perspectives of adaptive immune cells, innate immune cells, cytokines and molecular targets. Meanwhile, this study focused on the clinical value of microenvironmental components in the immunotherapy and prognosis of malignant pleural effusion.