Lung adenocarcinoma (LUAD) is a public enemy with a very high incidence and mortality rate, for which there is no specific detectable biomarker. Pregnancy zone protein (PZP) is an immune-related protein; however, the functions of PZP in LUAD are unclear. In this study, a series of bioinformatics methods, combined with immunohistochemistry (IHC), four-color multiplex fluorescence immunohistochemistry (mIHC), quantitative real-time PCR (qRT-PCR) and enzyme-linked immunosorbent assay (ELISA), were utilized to explore the prognostic value and potential role of PZP in LUAD. Our data revealed that PZP expression was markedly reduced in LUAD tissues, tightly correlated with clinical stage and could be an independent unfavorable prognostic factor. In addition, pathway analysis revealed that high expression of PZP in LUAD was mainly involved in immune-related molecules. Tumor immune infiltration analysis by CIBERSORT showed a significant correlation between PZP expression and several immune cell infiltrations, and IHC further confirmed a positive correlation with CD4+ T-cell infiltration and a negative correlation with CD68+ M0 macrophage infiltration. Furthermore, mIHC demonstrated that PZP expression gave rise to an increase in CD86+ M1 macrophages and a decrease in CD206+ M2 macrophages. Therefore, PZP can be used as a new biomarker for the prediction of prognosis and may be a promising immune-related molecular target for LUAD.