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Lung involvement in systemic lupus erythematosus (SLE) and primary Sjögren’s syndrome (pSS) has extensively been outlined with a multiplicity of different manifestations. In SLE, the most frequent finding is pleural effusion, while in pSS, airway disease and parenchymal disorders prevail. In both cases, there is an increased risk of pre-capillary and post-capillary pulmonary arterial hypertension (PAH) and pulmonary venous thromboembolism (VTE). The risk of VTE is in part due to an increased thrombophilic status secondary to systemic inflammation or to the well-established association with antiphospholipid antibody syndrome (APS). The lung can also be the site of an organ-specific complication due to the aberrant pathologic immune-hyperactivation as occurs in the development of lymphoma or amyloidosis in pSS. Respiratory infections are a major issue to be addressed when approaching the differential diagnosis, and their exclusion is required to safely start an immunosuppressive therapy. Treatment strategy is mainly based on glucocorticoids (GCs) and immunosuppressants, with a variable response according to the primary pathologic process. Anticoagulation is recommended in case of VTE and multi-targeted treatment regimens including different drugs are the mainstay for PAH management. Antibiotics and respiratory physiotherapy can be considered relevant complement therapeutic measures. In this article, we reviewed lung manifestations in SLE and pSS with the aim to provide a comprehensive overview of their diagnosis and management to physicians taking care of patients with connective tissue diseases.