Small cell lung cancer (SCLC) is a highly aggressive neuroendocrine disease marked by rapid growth, early metastatic spread, and poor outcomes. The addition of immune checkpoint inhibitors (ICIs) targeting the PD-1/PD-L1 axis to first-line chemotherapy has recently reshaped the treatment landscape for extensive-stage SCLC (ES-SCLC); however, the resulting survival gains remain modest compared with non-small lung cancer (NSCLC). This review explores the molecular features of the SCLC immune landscape that contribute to its predominantly “cold” tumor phenotype, including low MHC class I expression, T-cell exhaustion, and a profoundly immunosuppressive tumor microenvironment (TME). We summarize key clinical findings from landmark trials and examine mechanisms of both primary and acquired resistance against ICIs in SCLC. In addition, we have reviewed the growing role of precision medicine in SCLC, including molecular subtyping (SCLC-A, -N, -P, and -I) and the development of next-generation immunotherapies such as bispecific T-cell engagers (BiTEs), B7-H3, targeted therapy, and antibody–drug conjugates. By combining existing clinical evidence with new molecular insights, this review article presents strategies to overcome the existing therapeutic plateau and enhance personalized immunotherapy approaches in SCLC.