Diffuse pulmonary infiltrates due to interstitial lung disease is one of the most common and serious complications in patients with a compromised immune system. The mortality rate varies between 15% and 90%, depending on the underlying disease, the severity of lung involvement, and the total impairment of host defenses. An evaluation of the immunocompromised host with diffuse pulmonary infiltrates can be difficult, frustrating, and time-consuming. Opportunistic and bacterial infections are the most common cause of such pulmonary infiltrates and must be distinguished from other conditions such as drug reactions, radiation pneumonitis (RP), the recurrence of malignant disease, volume overload, and pulmonary hemorrhage, among others. The complexity of and potential fatality from the condition mandates aggressive evaluation and quick identification of the underlying process. Moreover, it is practically impossible to address all the diagnostic possibilities with empiric treatment. In view of the diversity of etiologies, the nonspecific nature of the clinical and radiologic findings, and the low yield of noninvasive procedures, invasive diagnostic methods often are required. The least invasive procedure that may provide useful information is BAL. Unfortunately, some disorders that occur predominantly in the interstitium require the performance of more invasive techniques, such as transbronchial biopsy (TBB) or even open lung biopsy (OLB), which seems to be well-tolerated even in critically ill patients. However, outcome studies have been unable to show convincingly an impact on overall survival for this invasive approach. Although the guidelines for the management of immunocompromised patients with pulmonary infiltrates have been developed, they may be predicated on data from a single institution or may depend on diagnostic procedures and laboratory support that are not necessarily available to physicians in all locations. Therefore, an individualized approach should be tailored to each patient, considering all the pertinent clinical data that would dictate the extent and pace of additional interventions.