Sarcomas are uncommon malignancies of mesenchymal origin that can arise throughout the human lifespan, at any part of the body. Surgery remains the optimal treatment modality whilst response to conventional treatments, such as chemotherapy and radiation, is minimal. Immunotherapy has emerged as a novel approach to treat different cancer types but efficacy in soft tissue sarcoma and bone sarcoma is limited to distinct subtypes. Growing evidence shows that cancer-stroma cell interactions and their microenvironment play a key role in the effectiveness of immunotherapy. However, the pathophysiological and immunological properties of the sarcoma tumor microenvironment in relation to immunotherapy advances, has not been broadly reviewed. Here, we provide an up-to-date overview of the different immunotherapy modalities as potential treatments for sarcoma, identify barriers posed by the sarcoma microenvironment to immunotherapy, highlight their relevance for impeding effectiveness, and suggest mechanisms to overcome these barriers.