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SCLC and malignant pleural mesothelioma (MPM) are historically characterized by a disappointing lack of significant therapeutic breakthroughs for novel agents, and both malignancies represent true unmet medical needs. Given the promising results of anti–cytotoxic T-lymphocyte associated protein-4 and anti–programmed cell death-1/programmed death ligand-1 antibodies in the treatment of advanced NSCLCs, these immune checkpoint inhibitors are now also under investigation in SCLC and MPM, as well as in thymic epithelial tumors (TETs). Here, we review the biological and clinical rationale for immune checkpoint inhibition in SCLC, MPM, and TETs and present preliminary clinical results with available antibodies. Immunotherapeutic perspectives for these malignancies in terms of novel agents currently under evaluation or anticipated in the near future are also discussed. Current immune checkpoint blockers targeting cytotoxic T-lymphocyte associated protein-4 and the programmed cell death-1/programmed death ligand-1 axis, administered alone or in combination and as multimodality treatment, are likely to be a valuable addition to the therapeutic array for managing SCLC and MPM; studies in TETs, which are currently in their infancy, are merited. Close attention to potential toxicities will be important to the success of such strategies in these settings.