(1) Background: Welding fumes (WFs) are composed of fine and ultrafine particles, which may reach the distal airways and represent a risk factor for respiratory diseases. (2) Methods: In vitro and in vivo studies to understand WFs pathogenesis were selected. Epidemiological studies, original articles, review, and meta-analysis to examine solely respiratory disease in welders were included. A systematic literature search, using PubMed, National Institute for Occupational Safety and Health Technical Information Center (NIOSHTIC), and Web of Science databases, was performed. (3) Results: Dose, time of exposure, and composition of WFs affect lung injury. Inflammation, lung defense suppression, oxidative stress, DNA damage, and genotoxic effects were observed after exposure both to mild and stainless steel WFs. (4) Conclusions: The detection of lung diseases associated with specific occupational exposure is crucial as complete avoidance or reduction of the exposure is difficult to achieve. Further studies in the area of particle research may aid the understanding of mechanisms involved in welding-related lung disease and to expand knowledge in welding-related cardiovascular diseases.