Immune checkpoint inhibitors (ICIs) have recently been used as a promising treatment for cancer, while their toxicity and immune-related side effects can be seen in any organ, including the nervous system. In contrast to other immune-related adverse events (irAEs), neurological irAEs (nAEs) are rare, with varying incidence and symptom complexity. Although nAEs are uncommon, they can sometimes be severe and even lead to death. However, little attention has been paid to nAEs, and the literature is mostly clinical reports with only a few cases. We, therefore, conducted the present review with the aim of providing a comprehensive introduction of nAEs. In this review, we summarized various nAEs, including meningitis, encephalitis, and hypophysitis in the central nervous system, and myositis, myasthenia gravis, and peripheral neuropathies in the peripheral system. We also reviewed the current diagnosis and treatment methods for nAEs commonly used in clinical practice. In addition, we discussed potential mechanisms regarding nAEs and proposed the possible approaches to prevent the risk of nAEs in patients treated with ICIs. There is still a lot to learn, such as whether and why patients with nAEs respond better to ICI-therapy. The mechanisms and significance of nAEs need to be fully clarified to address these issues and optimize the treatment strategy.