Management of advanced pancreatic neuroendocrine tumors (PNETs) is challenging. Chemotherapy has remained for decades the only validated therapeutic option, with debated efficacy. Recently, data from two large placebo-controlled phase III trials have demonstrated that targeted therapies directed against receptor of vascular endothelial growth factor (sunitinib) and mammalian target of rapamycin (mTOR) (everolimus) produced clinically significant improvement in patients with advanced PNETs, resulting in a doubling of progression free survival and leading to their FDA approval. However, as more patients have been treated following the approval of those drugs, reports of early progression, and tumor regrowth following initial responses strongly suggested that primary and acquired resistances may limit the efficacy of targeted therapies in PNETs. In this review, we aim to summarize the current knowledge about primary and acquired resistance to targeted therapies, i.e., antiangiogenic agents and mTOR inhibitors, using data available from preclinical and clinical studies in various malignancies. Herein, we also describe how these general mechanisms of resistance may emerge in PNETs in patients treated with sunitinib and everolimus. Overcoming such resistances is likely to be the next challenge for clinicians in advanced PNETs management, warranting seeking for new anticancer strategies.