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Acute respiratory failure (ARF) in immunocompromised patients remains challenging to treat. A large number of case require admission to intensive care unit (ICU) where mortality remains high. Oxygenation without intubation is important in this setting. This review summarizes recent studies assessing oxygenation devices for immunocompromised patients. Previous studies showed that non-invasive ventilation (NIV) has been associated with lower intubation and mortality rates. Indeed, in recent years, the outcomes of immunocompromised patients admitted to the ICU have improved. In the most recent randomized controlled trials, including immunocompromised patients admitted to the ICU with ARF, neither NIV nor high-flow nasal oxygen (HFNO) could reduce the mortality rate. In this setting, other strategies need to be tested to decrease the mortality rate. Early admission strategy and avoiding late failure of oxygenation strategy have been assessed in retrospective studies. However, objective criteria are still lacking to clearly discriminate time to admission or time to intubation. Also, diagnosis strategy may have an impact on intubation or mortality rates. On the other hand, lack of diagnosis has been associated with a higher mortality rate. In conclusion, improving outcomes in immunocompromised patients with ARF may include strategies other than the oxygenation strategy alone. This review discusses other unresolved questions to decrease mortality after ICU admission in such patients.