The interplay between the immune system and chronic obstructive pulmonary disease (COPD) and non-small cell lung cancer (NSCLC) is complex and multifaceted. In COPD, chronic inflammation and oxidative stress can lead to immune dysfunction that can exacerbate lung damage, further worsening the respiratory symptoms. In NSCLC, immune cells can recognise and attack the cancer cells, which, however, can evade or suppress the immune response by various mechanisms, such as expressing immune checkpoint proteins or secreting immunosuppressive cytokines, thus creating an immunosuppressive tumour microenvironment that promotes cancer progression and metastasis. The interaction between COPD and NSCLC further complicates the immune response. In patients with both diseases, COPD can impair the immune response against cancer cells by reducing or suppressing the activity of immune cells, or altering their cytokine profile. Moreover, anti-cancer treatments can also affect the immune system and worsen COPD symptoms by causing lung inflammation and fibrosis. Immunotherapy itself can also cause immune-related adverse events that could worsen the respiratory symptoms in patients with COPD-compromised lungs. In the present review, we tried to understand the interplay between the two pathologies and how the efficacy of immunotherapy in NSCLC patients with COPD is affected in these patients.