Cancer-associated thrombosis (CAT) is a common complication in lung cancer patients. Lung cancer confers an increased risk of thrombosis compared to other solid malignancies across all stages of the disease. Newer treatment agents, including checkpoint immunotherapy and targeted agents, may further increase the risk of CAT. Different risk-assessment models, such as the Khorana Risk Score, and newer approaches that incorporate genetic risk factors have been used in lung cancer patients to evaluate the risk of thrombosis. The management of CAT is based on the results of large prospective trials, which show similar benefits to low-molecular-weight heparins (LMWHs) and direct oral anticoagulants (DOACs) in ambulatory patients. The anticoagulation agent and duration of therapy should be personalized according to lung cancer stage and histology, the presence of driver mutations and use of antineoplastic therapy, including recent curative lung surgery, chemotherapy or immunotherapy. Treatment options should be evaluated in the context of the COVID-19 pandemic, which has been shown to impact the thrombotic risk in cancer patients. This review focuses on the epidemiology, pathophysiology, risk factors, novel predictive scores and management of CAT in patients with active lung cancer, with a focus on immune checkpoint inhibitors.