Pituitary incidentalomas are tumors or mass lesions of the pituitary gland. These are incidentally discovered during imaging studies for symptoms that are not causally related to pituitary diseases. The most common symptom that triggers an examination is headache, and the most common type of pituitary incidentalomas are pituitary neuroendocrine tumors (PitNETs) and Rathke cleft cysts. The existing treatment strategy is controversial; however, surgical resection is recommended in cases of clinically non-functioning PitNETs with optic chiasm compression. In contrast, cystic lesions, such as Rathke cleft cysts, should be followed if the patients are asymptomatic. In this case, MRI and pituitary function tests are recommended every six months to one year; if there is no change, the follow-up period should be extended. The natural history of PitNET is partially known, and the management of pituitary incidentalomas is determined by this history. However, the pathogenesis of PitNET has significantly changed with the new World Health Organization classification, and follow-up is important based on this new classification. Therefore, a high level of evidence-based research is needed to consider treatment guidelines for pituitary incidentalomas in the future.