Immune checkpoint inhibitors are known to cause a variety of immune-related adverse events, including pneumonitis. When symptomatic, treatment typically consists of temporary or permanent cessation of the checkpoint inhibitor and several weeks of corticosteroid therapy. However, a subset of patients may suffer from severe pneumonitis, and the optimal treatment for this group is not known. Here we describe the case of a patient receiving pembrolizumab for non-small cell lung cancer who developed severe checkpoint inhibitor pneumonitis. After treatment with high-dose corticosteroids failed to produce a response, a course of intravenous immunoglobulin catalyzed rapid and durable improvement. In this review, we discuss the current evidence regarding the incidence and outcomes of severe checkpoint inhibitor pneumonitis and propose a role for intravenous immunoglobulin as a possible treatment strategy.