Systemic lupus erythematosus (SLE) is a chronic autoimmune disease characterized by immune dysregulation and a wide spectrum of clinical manifestations, including significant hematological involvement. The objective of this review was to summarize the epidemiology, pathogenic mechanisms, and treatment approaches for hematological malignancies (HMs) and autoimmune hemolytic anemia (AIHA) in patients with SLE, integrating recent advances in diagnosis and therapy. We conducted a narrative review of meta-analyses, large population-based studies, and translational research addressing lymphoma, leukemia, multiple myeloma, and AIHA in the context of SLE. Findings consistently demonstrate an increased standardized incidence ratio (SIR) for HMs, particularly non-Hodgkin’s lymphoma (SIR ≈ 5.7), with elevated risks also reported for Hodgkin lymphoma, leukemias (acute myeloid leukemia, acute lymphoblastic leukemia, chronic lymphocytic leukemia, chronic myeloid leukemia), and multiple myeloma (SIR ≈ 1.5). Pathogenesis is multifactorial, involving chronic immune activation, Epstein-Barr virus reactivation, oxidative stress, impaired DNA repair, and cumulative exposure to alkylating agents. AIHA, most commonly warm-antibody mediated, represents an additional source of morbidity, often complicating treatment decisions. Corticosteroids remain the first-line therapy, while refractory disease benefits from rituximab or cytotoxic immunosuppressants. Novel therapeutic strategies, including complement inhibitors (sutimlimab, pegcetacoplan), Bruton tyrosine kinase inhibitors, and neonatal Fc receptor antagonists, are emerging as promising options to reduce relapse rates and steroid dependence. Early recognition, individualized immunosuppressive regimens, and incorporation of targeted therapies may improve survival and long-term outcomes in this high-risk population.