Over the past decade, metabolic reprogramming has been defined as a hallmark of cancer. More recently, a large number of studies have demonstrated that metabolic reprogramming can modulate the differentiation and functions of immune cells, and thus modify the antitumor response. Increasing evidence suggests that modified energy metabolism could be responsible for the failure of antitumor immunity. Indeed, tumor-infiltrating immune cells play a key role in cancer, and metabolic switching in these cells has been shown to help determine their phenotype: tumor suppressive or immune suppressive. Recent studies in the field of immunometabolism focus on metabolic reprogramming in the tumor microenvironment (TME) by targeting innate and adaptive immune cells and their associated anti- or protumor phenotypes. In this review, we discuss the lipid metabolism of immune cells in the TME as well as the effects of lipids; finally, we expose the link between therapies and lipid metabolism.