In the absence of a satisfactory treatment of malignant pleural mesothelioma (MPM), novel therapeutic strategies are urgently needed. Among these, immunotherapy offers a series of advantages such as tumor specificity and good tolerability. Unfortunately, MPM immunotherapy is frequently limited by incomplete cell differentiation or feedback loop regulatory mechanisms. In this review, we describe different components of the innate immune system and discuss strategies to improve MPM immunotherapy by using epigenetic modulators.