Sesquiterpene lactones (SL), characterized by their high prevalence in the Asteraceae family, are one of the major groups of secondary metabolites found in plants. Researchers from distinct research fields, including pharmacology, medicine, and agriculture, are interested in their biological potential. With new SL discovered in the last years, new biological activities have been tested, different action mechanisms (synergistic and/or antagonistic effects), as well as molecular structure–activity relationships described. The review identifies the main sesquiterpene lactones with interconnections between immune responses and anti-inflammatory actions, within different cellular models as well in in vivo studies. Bioaccessibility and bioavailability, as well as molecular structure–activity relationships are addressed. Additionally, plant metabolic engineering, and the impact of sesquiterpene lactone extraction methodologies are presented, with the perspective of biological activity enhancement. Sesquiterpene lactones derivatives are also addressed. This review summarizes the current knowledge regarding the therapeutic potential of sesquiterpene lactones within immune and inflammatory activities, highlighting trends and opportunities for their pharmaceutical/clinical use.