Immune checkpoint inhibitors (ICIs) represent a breakthrough in the management of many hard-to-treat cancers over the past decade with demonstrable improvement in survival outcomes. We reviewed the state of the art of ICIs in neuroendocrine neoplasms (NENs). While ICIs have become part of the standard of care for the management of small cell lung cancer (SCLC), their role is still unclear in the management of extra-pulmonary (EP) poorly differentiated neuroendocrine carcinomas (NECs) as well as in the management of well-differentiated neuroendocrine tumors (NETs). Conflicting results derived from the various studies in NETs and EP NECs therefore for specific settings, such as the lung NETs, or therapeutic regimen, e.g., combo vs single agent, for ICIs benefit. Therefore, at the moment, no ICIs approach is justified for NETs and EP NECs in clinical practice. Future investigations should be designed with the aim to overcome the several limitations of the current trials, e.g., lacking of a central pathology review or heterogeneity of the cohorts, in order to reduce the risk of biases. Future trials combining ICIs with other biological agents are welcome. This review aims to provide a comprehensive overview of the biological rationale and evolving clinical applications of the use of ICIs in the management of NENs (both well-differentiated and poorly differentiated groups).