Interventional oncology (IO) is an emergent field in interventional radiology that can be considered the fourth pillar of oncology. Interventional oncology has the unique capability to treat malignancy in a loco-regional fashion enabling curative (percutaneous ablation), disease stabilization (intra-arterial chemo/radioembolization), and palliative treatment (such as biliary drainage or nephrostomy). The whole arsenal of IO acts by inducing necrosis and apoptosis, with interactions with the tumour's microenvironment potentially crucial for oncological outcomes. Considering that tumour's microenvironment is a pivotal target for both immuno-oncology and interventional-oncology, the interactions between these two anti-tumour weapons must be investigated to understand their synergy. Interestingly, substantial efforts have been directed to understand which technique combinations are best for specific tumours. This review article summarizes the latest scientific evidence highlighting the future prospective of this winning combination, integrating evidence-reported literature and experience-based perceptions.