Interstitial lung disease (ILD) is a severe complication of certain connective tissue diseases (CTDs) such as systemic sclerosis (SSc), mixed connective tissue disease (MCTD), idiopathic inflammatory myopathies (IIM), rheumatoid arthritis (RA) and systemic lupus erythematosus (SLE), and it is associated with nailfold videocapillaroscopy (NVC) changes and increased morbidity and mortality rates. Early diagnosis is crucial in order to prevent the progression of ILD, prevent respiratory failure and enhance the patient's overall quality of life. The most common paraclinical investigations are high-resolution computed tomography (HRCT) and functional respiratory tests such as forced vital capacity (FVC) and the diffusing capacity of the lungs for carbon monoxide (DLCO). The most frequent CTD associated with both ILD and NVC changes is systemic sclerosis. The "late" scleroderma pattern was the most common abnormality identified in NVC results in SSc patients. Other autoimmune diseases were also correlated with ILD and NVC changes, especially when the Raynaud phenomenon was present. Low capillary density was associated with the presence and severity of ILD and a reduction in FVC and DLCO. NVC can also differentiate the capillaroscopic changes in some particular types of ILD, such as the usual interstitial pneumonia (UIP) pattern from the non-specific interstitial pneumonia (NSIP) pattern. Nevertheless, further extensive research is necessary in order to establish the diagnostic value of NVC in CTD-ILD in clinical practice.