Lung cancer has the highest incidence rate and mortality worldwide. Moreover, multiple factors may cause heterogeneity in the efficacy of immunotherapy for lung cancer, and preclinical studies have gradually uncovered the promotive effects of psychological distress (PD) on tumor hallmarks. Therefore, treatment targeted at PD may be a vital factor in adjusting and improving immunotherapy for lung cancer. Here, by focusing on the central nervous system, as well as stress-related crucial neurotransmitters and hormones, we highlight the effects of PD on the lung immune system, the lung tumor microenvironment (TME) and immunotherapy, which brings a practicable means and psychosocial perspective to lung cancer treatment.