Cancer immunotherapies, represented by immune checkpoint inhibitors (ICIs), have reshaped the treatment paradigm for both advanced non-small cell lung cancer and small cell lung cancer. Programmed death receptor-1/programmed death receptor ligand-1 (PD-1/PD-L1) and cytotoxic T lymphocyte-associated antigen-4 (CTLA-4) are some of the most common and promising targets in ICIs. Compared to ICI monotherapy, which occasionally demonstrates treatment resistance and limited efficacy, the dual blockade immunotherapy targeting PD-1/PD-L1 and CTLA-4 operates at different stages of T cell activation with synergistically enhancing immune responses against cancer cells. This emerging dual therapy heralds a new direction for cancer immunotherapy, which, however, may increase the risk of drug-related adverse reactions while improving efficacy. Previous clinical trials have explored combination therapy strategy of anti-PD-1/PD-L1 and anti-CTLA-4 agents in lung cancer, yet its efficacy remains to be unclear with the inevitable incidence of immune-related adverse events. The recent advent of bispecific antibodies has made this sort of dual targeting more feasible, aiming to alleviate toxicity without compromising efficacy. Thus, this review highlights the role of dual blockade immunotherapy targeting PD-1/PD-L1 and CTLA-4 in treating lung cancer, and further elucidates its pre-clinical mechanisms and current advancements in clinical trials. Besides, we also provide novel insights into the potential combinations of dual blockade therapies with other strategies to optimize the future treatment mode for lung cancer.