Several mechanisms and cell types are involved in the regulation of the immune response. These include mostly regulatory T cells (Tregs), regulatory macrophages (Mregs), myeloid suppressor cells (MDSCs) and other regulatory cell types such as tolerogenic dendritic cells (tolDCs), regulatory B cells (Bregs), and mesenchymal stem cells (MSCs). These regulatory cells, known for their ability to suppress immune responses, can also suppress the anti-tumor immune response. The infiltration of many regulatory cells into tumor tissues is therefore associated with a poor prognosis. There is growing evidence that elimination of Tregs enhances anti-tumor immune responses. However, the systemic depletion of Treg cells can simultaneously cause deleterious autoimmunity. Furthermore, since regulatory cells are characterized by their high level of expression of immune checkpoints, it is also expected that immune checkpoint inhibitors perform part of their function by blocking these molecules and enhancing the immune response. This indicates that immunotherapy does not only act by activating specific effector T cells but can also directly or indirectly attenuate the suppressive activity of regulatory cells in tumor tissues. This review aims to draw together our current knowledge about the effect of immunotherapy on the various types of regulatory cells, and how these effects may be beneficial in the response to immunotherapy.