Small cell lung cancer (SCLC), an aggressive and devastating malignancy, is characterized by rapid growth and early metastasis. Although most patients respond to first-line chemotherapy, the majority of patients rapidly relapse and have a relatively poor prognosis. Fortunately, immunotherapy, mainly including antibodies that target the cytotoxic T lymphocyte antigen-4 (CTLA-4), checkpoints programmed death-1 (PD-1), and programmed death-ligand 1 (PD-L1) to block immune regulatory checkpoints on tumor cells, immune cells, fibroblasts cells and endothelial cells, has achieved the milestone in several solid tumors, such as melanoma and non-small-cell lung carcinomas (NSCLC). In recent years, immunotherapy has made progress in the treatment of patients with SCLC, while its response rate is relatively low to monotherapy. Interestingly, the combination of immunotherapy with other therapy, such as chemotherapy, radiotherapy, and targeted therapy, preliminarily achieve greater therapeutic effects for treating SCLC. Combining different immunotherapy drugs may act synergistically because of the complementary effects of the two immune checkpoint pathways (CTLA-4 and PD-1/PD-L1 pathways). The incorporation of chemoradiotherapy in immunotherapy may augment antitumor immune responses because chemoradiotherapy can enhance tumor cell immunogenicity by rapidly inducing tumor lysis and releasing tumor antigens. In addition, since immunotherapy drugs and the molecular targets drugs act on different targets and cells, the combination of these drugs may achieve greater therapeutic effects in the treatment of SCLC. In this review, we focused on the completed and ongoing trials of the combination therapy for immunotherapy of SCLC to find out the rational combination strategies which may improve the outcomes for SCLC.