The proteomic approach applied to the analysis of BAL gives a panorama of the complex network of proteins of different origin and function and their modifications at alveolar level. Cigarette smoking may influence BAL protein composition and it represents the most relevant risk factor for several lung diseases. This review, for the first time, discusses the available literature regarding the effects of cigarette smoking on BAL protein composition of healthy subjects and patients affected by interstitial lung diseases (ILD). The comparison of BAL protein profiles of smokers and non-smoker healthy controls revealed alterations of proteins related to oxidative stress and protease/antiprotease imbalance (such as alpha 1 antitrypsin, alpha-1-antichymotrypsin, apolipoprotein A1, peroxiredoxin 1 and glutathione S transferase P). Smoking exposure leads to a significant dysregulation of a large number of molecular pathways involved in interstitial lung diseases and the proteomic studies applied to the study of BAL of idiopathic pulmonary fibrosis, sarcoidosis and other ILD contributed to clarify the underlying pathogenetic mechanisms facilitating ILD development and biomarker discovery.