Immunotherapy is now considered an innovative and strong strategy to beat metastatic, drug-resistant, or relapsing tumours. It is based on the manipulation of several mechanisms involved in the complex interplay between cancer cells and immune system that culminates in a form of immune-tolerance of tumour cells, favouring their expansion. Current immunotherapies are devoted enforcing the immune response against cancer cells and are represented by approaches employing vaccines, monoclonal antibodies, interleukins, checkpoint inhibitors, and chimeric antigen receptor (CAR)-T cells. Despite the undoubted potency of these treatments in some malignancies, many issues are being investigated to amplify the potential of application and to avoid side effects. In this review, we discuss how sphingolipids are involved in interactions between cancer cells and the immune system and how knowledge in this topic could be employed to enhance the efficacy of different immunotherapy approaches. In particular, we explore the following aspects: how sphingolipids are pivotal components of plasma membranes and could modulate the functionality of surface receptors expressed also by immune cells and thus their functionality; how sphingolipids are related to the release of bioactive mediators, sphingosine 1-phosphate, and ceramide that could significantly affect lymphocyte egress and migration toward the tumour milieu, in addition regulating key pathways needed to activate immune cells; given the renowned capability of altering sphingolipid expression and metabolism shown by cancer cells, how it is possible to employ sphingolipids as antigen targets.