Acute lymphoblastic leukemia (ALL) results from a clonal expansion of abnormal lymphoid progenitors of B cell (BCP-ALL) or T cell (T-ALL) origin that invade bone marrow, peripheral blood, and extramedullary sites. Leukemic cells, apart from their oncogene-driven ability to proliferate and avoid differentiation, also change the phenotype and function of innate and adaptive immune cells, leading to escape from the immune surveillance. In this review, we provide an overview of the genetic heterogeneity and treatment of BCP- and T-ALL. We outline the interactions of leukemic cells in the bone marrow microenvironment, mainly with mesenchymal stem cells and immune cells. We describe the mechanisms by which ALL cells escape from immune recognition and elimination by the immune system. We focus on the alterations in ALL cells, such as overexpression of ligands for various inhibitory receptors, including anti-phagocytic receptors on macrophages, NK cell inhibitory receptors, as well as T cell immune checkpoints. In addition, we describe how developing leukemia shapes the bone marrow microenvironment and alters the function of immune cells. Finally, we emphasize that an immunosuppressive microenvironment can reduce the efficacy of chemo- and immunotherapy and provide examples of preclinical studies showing strategies for improving ALL treatment by targeting these immunosuppressive interactions.