Over the past three decades, there have been remarkable advances in the treatment of bone and soft tissue sarcomas. These include the introduction of adjuvant chemotherapy, establishment of guidelines for adequate surgical margins, and the development of post-excision reconstruction. There have also been advances in the field of immunotherapy against bone and soft tissue sarcomas, which, unfortunately, have received less attention. However, lack of progress in chemotherapy-based treatments for bone and soft tissue sarcomas has reignited interest in immunotherapeutic approaches. Here we summarize current progress in the immunotherapy of bone and soft tissue sarcomas including the strategies utilized to identify tumor-associated antigens, and the design of clinical trials.