Immunotherapy is one of the most rapidly developed tumor treatment strategies. Immune checkpoint inhibitors (ICIs) enhance the anti-tumor immune response by inhibiting the inhibitory effect of tumor cells on T cells. At present, antibodies against cytotoxic T-lymphocyte associated protein 4 (CTLA-4), programmed death-1 (PD-1) and programmed death ligand-1 (PD-L1) have been approved for clinical therapies. However, those treatments are only effective in the minority of patients. This may be related to the deeper immunosuppression mediated by myeloid-derived suppressor cells (MDSCs) and regulatory cells (Tregs). The microenvironment of the lung affects tumor immunity with its unique physiological function, which can quickly resist pathogens to maintain immune balance in the lung, but also can promote tumor progression. In this paper, the effects of immunosuppressive cells in the treatment of ICIs and the role of them in the lung immune environment are analyzed to explore the strategies to improve the effect of immunotherapy in patients with lung cancer.