The standard approach to primary central nervous system lymphomas (PCNSL), that is high-dose methotrexate (HD-MTX)-based chemotherapy followed by whole-brain irradiation (WBRT), is associated with disappointing outcome. Moreover, this strategy is heavily conditioned by increased risk of disabling neurotoxicity, mostly among elderly patients. Several drugs and strategies have been investigated to improve results and neurotolerability. Among others, some investigators focused on the use of high-dose chemotherapy supported by autologous stem cells transplant (HDC/ASCT) as consolidation after primary chemotherapy. This approach has been used as salvage therapy in patients who experienced progressive disease or relapse after conventional chemo-radiotherapy or as consolidation after primary HD-MTX-based chemotherapy, replacing or preceding WBRT. Evidence supporting the role of HDC/ASCT is growing but several questions are still unanswered. The best conditioning regimen, the role of concomitant intrathecal chemotherapy, the neurotoxicity risk of further WBRT after transplant, the best time for response assessment and late effects both on neurological performance and extraneural organs remain to be characterised. This critical review is focused on the analysis of published experiences on HDC/ASCT in PCNSL in order to provide preliminary answers to the most pressing questions in this field.