Once temozolomide has failed, there is no recommended treatment option for pituitary carcinomas and aggressive pituitary tumors. Immune-checkpoint inhibitors (ICIs) represent the most recent therapeutic avenue, having raised hope with the publication of the first successful case in 2018. Here, we present an overview of immunotherapy in pituitary carcinomas and aggressive pituitary tumors, starting with the rationale for using ICIs and the implications of tumor-infiltrating lymphocytes in anterior pituitary tumors, followed by a systematic review of all published cases, analyzing both treatment response and potential predictors of response and finishing with research and clinical perspectives. Seven corticotroph and four lactotroph tumors have been so far treated with ICIs. Corticotroph tumors showed radiological partial response in 57% of cases, followed by stable disease in 29% of cases, which was accompanied by biochemical partial or complete response in 83% of cases. Half of lactotroph tumors showed radiological complete or partial response, accompanied by biochemical complete response in 33% of the cases. In the case of a dissociate response, continuation of immunotherapy combined with local treatment represents a good option. At this time, a high tumor mutational burden appears to be the most promising predictive marker of response. MMR deficiency does not guarantee a response. Negative PD-L1 staining should not preclude ICIs administration. Therefore, ICIs are a promising option after temozolomide failure. This review highlights key clinical aspects that can already be implemented into practice and also discusses tumor biology concepts and perspectives expected to improve immunotherapy outcomes.