Pneumothorax is one of the most frequent complications during percutaneous central vascular cannulation. When choosing a site for central vascular access, the internal jugular vein is preferable to other vessels, for the lower frequency of related complications, including pneumothorax. This review intends to summarize the current state of the art on how to avoid and, if it occurs, to manage this rare but relevant complication. In order to prevent pneumothorax, as well as other relevant complications of central vein cannulation, it is advisable to use ultrasound guidance whenever possible. If pneumothorax occurs, it is important to recognize its signs and symptoms. To exclude the presence of asymptomatic pneumothorax, in the normal clinical routine a chest X-ray should be obtained within 4 hours from the procedure of central vein cannulation of subclavian and internal jugular veins. If promptly recognized, pneumothorax can be managed quickly and in a relatively easy way. Depending on its size and symptoms, and in particular when a tension pneumothorax is suspected, treatment can vary from simple observation to a chest tube insertion or, in the latter case, to an emergency thoracentesis needle insertion in the pleural space.