Malignant pleural mesothelioma (MPM) is a rare and highly aggressive disease that arises from pleural mesothelial cells, characterized by a median survival of approximately 13–15 months after diagnosis. The primary cause of this disease is asbestos exposure and the main issues associated with it are late diagnosis and lack of effective therapies. Asbestos-induced cellular damage is associated with the generation of an inflammatory microenvironment that influences and supports tumor growth, possibly in association with patients’ genetic predisposition and tumor genomic profile. The chronic inflammatory response to asbestos fibers leads to a unique tumor immune microenvironment (TIME) composed of a heterogeneous mixture of stromal, endothelial, and immune cells, and relative composition and interaction among them is suggested to bear prognostic and therapeutic implications. TIME in MPM is known to be constituted by immunosuppressive cells, such as type 2 tumor-associated macrophages and T regulatory lymphocytes, plus the expression of several immunosuppressive factors, such as tumor-associated PD-L1. Several studies in recent years have contributed to achieve a greater understanding of the pathogenetic mechanisms in tumor development and pathobiology of TIME, that opens the way to new therapeutic strategies. The study of TIME is fundamental in identifying appropriate prognostic and predictive tissue biomarkers. In the present review, we summarize the current knowledge about the pathological characterization of TIME in MPM.