Gastrointestinal (GI) cancers are one of the leading causes of death worldwide. Although various approaches are implemented to improve the health condition of GI patients, none of the treatment protocols promise for eradicating cancer. However, a treatment mechanism against any kind of disease condition is already existing executing inside the human body. The 'immune system' is highly efficient to detect and destroy the unfavorable events of the body including tumor cells. The immune system can restrict the growth and proliferation of cancer. Cancer cells behave much smarter and adopt new mechanisms for hiding from the immune cells. Thus, cancer immunotherapy might play a decisive role to train the immune system against cancer. In this review, we have discussed the immunotherapy permitted for the treatment of GI cancers. We have discussed various methods and mechanisms, periodic development of cancer immunotherapies, approved biologicals, completed and ongoing clinical trials, role of various biopharmaceuticals, and epigenetic factors involved in GI cancer immunotherapies.