In recent years, natural polysaccharides have received increasing attention and become one type of popular dietary nutrient because of their various biological functions. In this paper, the sources, extraction, purification and structural characterization methods of natural polysaccharides are introduced. Natural polysaccharides are favorable for the proliferation of short chain fatty acid (SCFA)-producing bacteria, the presence of which can improve the intestinal microenvironment. Natural polysaccharides can not only enhance immunity, but also suppress excessive immune responses caused by various stimuli. In particular, natural polysaccharides can regulate immunity by acting directly on the immune cells and targeting the gut microbiota. Natural polysaccharides can enhance immunity by promoting beneficial microorganisms and strengthening the function of immune cells. However, natural polysaccharides can also suppress excessive inflammatory responses by improving the intestinal microbiota composition, strengthening intestinal barrier function, enhancing antioxidant activities, promoting SCFA production and reducing pro-inflammatory mediators. Therefore, a comprehensive review is presented on the impacts of natural polysaccharides on the gut microbiota and immune responses, as well as their interactions.