Ever since the discovery of RNA interference (RNAi), which is a post-transcriptional gene silencing mechanism, researchers have been studying the therapeutic potential of using small interfering RNA (siRNA) to treat diseases that are characterized by excessive gene expression. Excessive gene expression can be particularly harmful if it occurs in a vulnerable organ such as the lungs as they are essential for physiological respiration. Consequently, RNAi could offer an approach to treat such lung diseases. Parenteral administration of siRNA has been shown to be difficult due to degradation by nucleases in the systemic circulation and excretion by the kidneys. To avoid these issues and to achieve local delivery and local effects, pulmonary administration has been proposed as an alternative administration route. Regarding this application, various animal studies have been conducted over the past few years. Therefore, this review presents a critical analysis of publications where pulmonary administration of siRNA in animals has been reported. Such an analysis is necessary to determine the feasibility of this administration route and to define directions for future research. First, we provide background information on lungs, pulmonary administration, and delivery vectors. Thereafter, we present and discuss relevant animal studies. Though nearly all publications reported positive outcomes, several reoccurring challenges were identified. They relate to 1) the necessity, efficacy, and safety of delivery vectors, 2) the biodistribution of siRNA in tissues other than the lungs, 3) the poor correlation between in vitro and in vivo models, and 4) the long-term effects upon (repeated) administration of siRNA. Finally, we present recommendations for future research to define the route to go: towards safer and more effective pulmonary administration of siRNA.