Approximately 40% of unselected non-small cell lung cancer (NSCLC) patients develop brain metastases (BMs) during their disease, with considerable morbidity and mortality. The management of BMs in patients with NSCLC is a clinical challenge and requires a multidisciplinary approach to gain effective intracranial disease control. Over the last decade, immune checkpoint inhibitors (ICIs) have emerged as a game-changer in the treatment landscape of advanced NSCLC, with significant improvements in survival outcomes, although patients with BMs are mostly underrepresented in randomized clinical trials. Moreover, the safety and activity of ICIs and radiotherapy combinations compared with single-agent or sequential modalities is still under evaluation to establish the optimal management of these patients. The aim of this review is to summarize the state-of-the-art of clinical evidence of ICIs intracranial activity and the main challenges of incorporating these agents in the treatment armamentarium of NSCLC patients with BMs.