Immune-related adverse events (irAEs) of immunotherapy would lead to the temporary or permanent discontinuation of immune checkpoint inhibitors (ICIs). Among them, checkpoint inhibitor pneumonitis (CIP) is a potentially life-threatening irAE. This study aimed to identify the differences between patients with low-grade CIPs (grades 1–2) and high-grade CIPs (grades 3–5) and to explore the prognostic factors. We retrospectively reviewed the medical records of 916 lung cancer patients who were treated with ICIs. Patients with CIPs were identified after multidisciplinary discussion, and their clinical, laboratory, radiological, and follow-up data were analyzed. Among the 74 enrolled CIP patients, there were 31 low-grade CIPs and 43 high-grade CIPs. Compared with low-grade CIP patients, patients with high-grade CIPs were older (65.8 years vs. 61.5 years) and had lower serum albumin (35.2 g/L vs. 37.9 g/L), higher D-dimer (5.1 mg/L vs. 1.7 mg/L), and more pulmonary infectious diseases (32.6% vs. 6.5%) during follow-up. In addition, complication with pulmonary infectious diseases, management with intravenous immunoglobulin, tocilizumab, and longer duration of large dosage corticosteroids might be associated with worse outcomes for patients with CIPs. This study highlights potential risk factors for high-grade CIP and poor prognosis among lung cancer patients who were treated with anti-cancer ICIs.