Systemic lupus erythematosus is an autoimmune systemic disease that commonly affects the respiratory system. Shrinking lung syndrome is a rare respiratory complication associated with systemic lupus erythematosus. Patients present with dyspnea alone or associated with chest pain and orthopnea, lung volume reduction with no parenchymal abnormalities and a restrictive ventilatory defect on pulmonary function tests. The pathogenesis, treatment, and prognosis of shrinking lung syndrome remain controversial. This study describes the clinical features, investigations, and outcome of a series of four patients with systemic lupus erythematosus and shrinking lung syndrome regularly followed on Rheumatology Service of the Clinics Hospital of the Federal University of Minas Gerais, Brazil, with a brief review of literature. It emphasizes that, despite prognosis of shrinking lung syndrome has been reported as good, it may cause severe functional pulmonary abnormalities and must be treated promptly and aggressively in order to, at least, stabilize pulmonary function tests.