In cryoimmunotherapy, target tumors are treated with cryoablation to generate antitumor immune responses. Because immune checkpoint inhibitors have demonstrated that lung cancer can be an immunotherapy-responsive disease, there has been renewed interest in the immunological aspects of cryoablation of lung cancer. Herein, we review preclinical and clinical trials of cryoablation of primary lung tumors. We examine the magnitude of cryoablation-induced antitumor immune responses and the synergy between cryoablation and either other immunotherapies or molecular targeted therapies to improve treatment responses in advanced lung cancer. We further discuss a rationale for the addition of cryoablation to immune checkpoint inhibitors for the treatment of advanced lung cancer, which is currently under clinical investigation.