Patients with a compromised immune system suffer a wide variety of insults. Interstitial lung changes are one of the most common and serious complications in this group of patients. The morbidity rate reaches 50% and up to 90% if endotracheal intubation and mechanical ventilation are necessary. Opportunistic and bacterial infections are common causes of pulmonary infiltrates and must be distinguished from other conditions such as drug reactions, volume overload, pulmonary hemorrhage, and malignant diseases. Accurate and prompt diagnosis of potentially treatable causes can be life-saving. Non-invasive diagnostic methods for evaluation are often of little value, and an invasive procedure - such as bronchoalveolar lavage, transbronchial biopsy or even open lung biopsy - is therefore performed to obtain a histologic diagnosis. Yet, even when a specific diagnosis is made it may not improve the patient’s survival. Numerous textbook and review articles have focused on the management of this condition. The present review attempts to provide a comprehensive and systematic picture of current knowledge and an integrated approach to these challenging patients.