Tumor necrosis factor alpha (TNF-α) inhibitors revolutionized the management of patients affected by autoimmune diseases such as inflammatory bowel diseases, rheumatoid arthritis, ankylosing spondylitis, psoriatic arthritis, and psoriasis. The biologic agents targeted to block TNF-α such as infliximab, adalimumab, certulizumab pegol, etanercept, and golimumab, have a good safety profile; however, with increasing, broader, and prolonged use, patients could be exposed to an increased risk of adverse reactions including a wide spectrum of dermatological conditions of different etiology and morphology. Among these, of particular interest is the development of skin immune-mediated diseases that seem to be the consequence of the paradoxical inflammation induced by anti-TNF-α therapy. The majority of these lesions are identified as psoriasiform with three main morphologies and different frequency: pustular psoriasis, signs of psoriasis, and guttate; although erythrodermic or inverted psoriasis, among others, may be observed with less frequency. The increased incidence of these dermatological immune-mediated lesions highlight the importance of the skin as a main target of the side effect of anti-TNF-α agents, while the immunopathogenetic hypothesis of these paradoxical effects are quite intriguing. The aim of this review is to collect and to analyze existing knowledge to better understand the pathogenetic mechanism of these complications and suggest new fields of investigation, improve therapeutic strategies of autoimmune diseases, and prevent and/or better address such complications.