Sarcomas are rare cancers of soft tissue and bone, and remain incurable when refractory to standard multimodality treatments. With the recent advances in immunotherapy for other solid tumors, there is heightened interest in the potential link of the immune system with sarcoma physiology. This review aims to summarize the ongoing laboratory and clinical research investigating the applications of immunotherapy in the treatment of sarcomas. With ongoing opportunities in vaccine therapy, adoptive transfer of immune cells, biochemotherapy, and immune checkpoint inhibitors, enrollment in immunotherapy clinical trials is an appealing option for sarcoma patients either in conjunction with traditional treatment modalities, or for those with few standard treatment options.