Neuroendocrine neoplasms (NENs) are a heterogeneous group of epithelial neoplastic proliferations that irrespective of their primary site share features of neural and endocrine differentiation including the presence of secretory granules, synaptic-like vesicles, and the ability to produce amine and/or peptide hormones. NENs encompass a wide spectrum of neoplasms ranging from well-differentiated indolent tumors to highly aggressive poorly differentiated neuroendocrine carcinomas. Most cases arise in the digestive system and in thoracic organs, i.e., the lung and thymus. A correct diagnostic approach is crucial for the management of patients with both digestive and thoracic NENs, because their high clinical and biological heterogeneity is related to their prognosis and response to therapy. In this context, immunohistochemistry represents an indispensable diagnostic tool that pathologists need to use for the correct diagnosis and classification of such neoplasms. In addition, immunohistochemistry is also useful in identifying prognostic and theranostic markers. In the present article, the authors will review the role of immunohistochemistry in the routine workup of digestive and thoracic NENs.