Diffuse alveolar haemorrhage (DAH) is a serious complication of anti-neutrophil cytoplasmic antibody (ANCA)-associated vasculitis (AAV). A literature review was performed to ascertain the diagnostic features, treatment, and outcome of this rare but serious condition. Haemoptysis and dyspnoea are common but non-specific features. Chest radiography is usually abnormal, and high-resolution computerised tomographic scanning is more sensitive. Increased uptake of inhaled carbon monoxide and reduced clearance of C15O on lung function testing is suggestive of intra-alveolar blood. Fiberoptic bronchoscopy and bronchoalveolar lavage are useful when a super-added infection is suspected. Concurrent renal disease is common and contributes to the morbidity and mortality. Treatment should be individualised, and it is based on glucocorticoid and cyclophosphamide induction with azathioprine maintenance. The role of plasmapheresis is unclear, and is currently being evaluated. Patients are at risk of disease and treatment-related long-term complications. Ongoing research into the most efficacious therapeutic regimens associated with the least side effects is especially important.