The emergence of immune checkpoint inhibitors (ICIs) as a pillar of cancer treatment has emphasized the immune system’s integral role in tumor control and progression through cancer immune surveillance. ICIs are being investigated and incorporated into the treatment paradigm for lung cancers across stages and histology. To date, definitive concurrent chemoradiotherapy followed by consolidative durvalumab is the only National Comprehensive Cancer Network’s recommended treatment paradigm including radiotherapy with ICI in lung cancers, although there are other recommendations for ICI with chemotherapy and/or surgery. This narrative review provides an overall view of the evolving integration and synergistic role of immunotherapy and radiotherapy and outlines the use of immunotherapy with radiotherapy for the management of small cell lung cancer and non-small cell lung cancer. It also reviews selected, practice-changing clinical trials that led to the current standard of care for lung cancers.