This review analyzes the major methodological caveats related to the design and conduction of trials addressing new active drugs in patients with failed primary CNS lymphoma (PCNSL) and provides some recommendations for their therapeutic management. The enrollment of patients in well-designed prospective trials is the best option at failure. In the clinical practice, radiotherapy is an option for unirradiated patients and re-treatment with high-dose methotrexate (HD-MTX) can be suggested to relapsing patients who experienced a prolonged lymphoma remission after first-line chemotherapy containing HD-MTX. Salvage monochemotherapy with temozolomide or topotecan in patients previously managed with a radiotherapy-containing approach is supported by prospective trials, while the combination chemotherapy remains investigational. High-dose chemotherapy supported by stem cell autotransplant and intrathecal chemotherapy in meningeal failure have to be further investigated in prospective trials.