During malignant transformation, accumulated somatic mutations endow cancer cells with increased invasiveness and immunogenicity. Under selective pressure, these highly immunogenic cancer cells develop multiple strategies to evade immune attack. It has been well established that cancer cells could downregulate the expression of major histocompatibility complex, acquire alterations in interferon pathway, and upregulate the activities of immune checkpoint pathways. Besides, cancer cells secret numerous cytokines, exosomes, and microvesicles to regulate the functions and abundances of components in the tumor microenvironment including immune effector cells and professional antigen presentation cells. As the vital determinant of post-transcriptional regulation, microRNAs (miRNAs) not only participate in cancer initiation and progression but also regulate anti-cancer immune response. For instance, some miRNAs affect cancer immune surveillance and immune escape by interfering the expression of immune attack-associated molecules. A growing body of evidence indicated that cancer-derived immune modulatory miRNAs might be promising targets to counteract cancer immune escape. In this review, we summarized the role of some miRNAs in cancer immune escape and discussed their potential clinical application as treatment targets.