Modern immunotherapy advances including checkpoint inhibitors and adoptive T cell therapy have created a new era of cancer treatment, with significant activities in a wide variety of hematologic and solid cancers. Sarcomas are rare and aggressive malignancies of bone and soft tissue affecting all ages of patients that are usually incurable when refractory to chemotherapy and surgery. However, a subset of patients with metastatic sarcoma will survive for years, suggesting that immune suppression of residual sarcoma cells may be effective in some cases. Most sarcomas exhibit immune cell infiltrates, but the tumor and immune microenvironment tends to be immunosuppressive. The goal of modern immunotherapy is to revert immunosuppressive conditions towards an activated inflammatory state, promoting antitumor immunity. We review the available literature regarding the immune microenvironment in sarcomas, with emphasis on tumor evasion mechanisms that can be targeted with immunotherapeutic strategies. We also highlight recent clinical trials of immunotherapy that show exciting signals of activity in refractory sarcomas.