In the recent past, we observed an increased risk of cancer in the HIV population due to the development of antiretroviral therapies that decreased mortality caused by HIV-specific infections. This particularly fragile population is frequently excluded from clinical trials, and up-to-date recommendations for these patients are lacking. Only few cases of HIV patients suffering from cancer and undergoing first-line immunotherapy have been reported so far. Here we report the largest known study of HIV patients with non-small cell lung cancer (NSCLC) (5 patients) undergoing first-line immunotherapy by pembrolizumab, following CANCERVIH group selection. Our results are consistent with previous case reports concerning safety of immunotherapy in HIV patients, showing no severe or fatal toxicity, opportunistic infections, or immune reconstitution inflammatory syndrome (IRIS). Moreover, pembrolizumab did not seem to modify HIV viral parameters. We also assessed effectiveness of immunotherapy in these HIV-immunosuppressed patients: the average survival was 9.8 months, with three patients showing rapid progression and two partial response. However, as well as safety and drug-to-drug interactions, the effectiveness of first-line immunotherapy in people living with HIV (PLWHIV) needs to be supported by larger studies.