Malignant pleural mesothelioma (MPM) still represents a complex diagnostic challenge for pathologists in routine practice. This diagnosis requires a multidisciplinary approach, and pathological evaluation is mandatory. The histopathological diagnosis is stepwise and should be based on morphological and immunohistochemical assessment, sometimes associated with molecular tests, and supported by clinical and radiological findings. A correct morphological approach aims to exclude pleural metastasis or benign mesothelial proliferations, which are the main differential diagnoses. While certain histological features are diagnostic of MPM, others are highly suggestive but not definitive. Immunohistochemistry plays a pivotal role, with a panel of both traditional and newer markers being used to assess mesothelial differentiation and to differentiate malignant from benign proliferations. In more challenging cases, molecular tests, such as fluorescent in situ hybridization (FISH) to detect CDKN2A deletion, can be helpful in distinguishing malignant from benign pleural lesions. This review summarizes the key morphological, immunohistochemical, and molecular features that should be considered when pleural biopsy samples are examined, with the aim of improving diagnostic accuracy in this complex area.