Sarcomas represent a rare heterogeneous group of over 80 distinct histological malignancies of mesenchymal origin accounting for 1% of adult malignancies. The mainstay of treatment is surgical excision of the tumor if localized, and systemic therapy if the disease is advanced. Despite significant molecular, technological, and imaging advances in the management of sarcomas, systemic therapy still relies on traditional chemotherapy in most cases, albeit with limited efficacy. Novel therapeutic approaches that target the immune system including immune checkpoint inhibitors, adoptive cellular therapy, cancer vaccines, and cytokines have been explored through multiple clinical trials, retrospective and prospective studies. The results of these studies are conflicting and despite persistent efforts to date, the use of immunotherapy in clinical practice remains limited due to lack of significant efficacy. Further targeted research efforts are ongoing to delineate the role of immunotherapy in certain sarcoma subtypes.