Azygos vein aneurysms (AVAs) are uncommon and infrequently diagnosed. When confronted with a patient presenting with an AVA, physicians can rely on only a few case reports after an extensive literature search. To date, no guideline, no rule, and no review on the optimal treatment strategy for these patients exist. A PubMed and MEDLINE database search for papers and case reports describing AVA was performed. Cases from our own institutions were also reviewed. The literature search identified 57 published case reports that were reviewed for inclusion. Of those published cases, etiologic factors can be classified into idiopathic, acquired, and traumatic causes. Most AVAs are limited to the azygos arch, a congenital anatomic weak point. Clinical symptoms generally remain nonspecific. Computed or magnetic resonance tomography scans are effective diagnostic tools, although the optimal therapeutic plan remains unclear. Complications include rupture, thromboembolism, mediastinal mass effects, and pulmonary artery hypertension. Conservative treatment along with oral anticoagulation may be reasonable for some AVAs, but to date, there is no clear guideline or evidence-based threshold for surgical or interventional therapy. In review of the existing data and from our clinical and scientific knowledge, interventional or surgical treatment should strongly be considered in cases with clinical symptoms, pulmonary embolism or pulmonary arterial hypertension, thrombus formation within the AVA in patients with oral anticoagulation or for patients with a contraindication to oral anticoagulants, considerable increase in diameter or compression of adjacent structures, saccular AVA, or an underlying connective tissue disease. The most common procedure is surgical ligation of the AVA, although endovascular occlusion of the aneurysms is becoming more frequent.