The sphingolipid sphingosine-1-phosphate (S1P) promotes tumor development through a variety of mechanisms including promoting proliferation, survival, and migration of cancer cells. Moreover, S1P emerged as an important regulator of tumor microenvironmental cell function by modulating, among other mechanisms, tumor angiogenesis. Therefore, S1P was proposed as a target for anti-tumor therapy. The clinical success of current cancer immunotherapy suggests that future anti-tumor therapy needs to consider its impact on the tumor-associated immune system. Hereby, S1P may have divergent effects. On the one hand, S1P gradients control leukocyte trafficking throughout the body, which is clinically exploited to suppress auto-immune reactions. On the other hand, S1P promotes pro-tumor activation of a diverse range of immune cells. In this review, we summarize the current literature describing the role of S1P in tumor-associated immunity, and we discuss strategies for how to target S1P for anti-tumor therapy without causing immune paralysis.