Background/Objectives: Tumor cells exploit a variety of mechanisms to inhibit the immune response to lung cancer. The programmed cell death protein-1/programmed death-ligand-1 (PD-1/PD-L1) axis is frequently dysregulated in lung cancers with significant impacts on tumor growth. A sex difference has been observed in lung cancer progression and the response to PD-1/PD-L1 therapy, with the extent of benefits differing between men and women. The mechanism underlying these differences has not been fully established. Methods: In an attempt to better understand the nature of these differences, we searched the available literature for reports connecting sex specific bioactive molecules—including estrogens, progesterone, testosterone, follicle-stimulating hormone (FSH), luteinizing hormone (LH), prolactin, leptin, and activin/inhibin—to sex differences in lung cancer and the response to PD-1/PDL-1 therapies. We then condensed this information to help generate testable hypotheses to explain the observed sex differences in lung cancer and its immunotherapies. Conclusions: From these efforts, we discovered potential roles for sex steroids, FSH, LH, prolactin, leptin, and activin/inhibin in both immune cell activity and cancer cell survival and in the response to PD-1/PD-L1 therapies.