Cephalopods have the most advanced circulatory and nervous system among the mollusks. Recently, they have been included in the European directive which state that suffering and pain should be minimized in cephalopods used in experimentation. The knowledge about cephalopod welfare is still limited and several gaps are yet to be filled, especially in reference to pathogens, pathologies and immune response of these mollusks. In light of the requirements of the normative, in addition to the ecologic and economic importance of cephalopods, in this review we update the work published to date concerning cephalopod immune system. Significant advances have been reached in relation to the characterization of haemocytes and defensive mechanisms comprising cellular and humoral factors mainly, but not limited, in species of high economic value like Sepia officinalis and Octopus vulgaris. Moreover, the improvement of molecular approaches has helped to discover several immune-related genes/proteins. These immune genes/proteins include antimicrobial peptides, phenoloxidases, antioxidant enzymes, serine protease inhibitor, lipopolysaccharide-induced TNF-α factor, Toll-like receptors, lectins, even clusters of differentiation among others. Most of them have been found in haemocytes but also in gills and digestive gland, and the characterization as well as their precise role in the immune response of cephalopods is still pending to be elucidated. The assessment of immune parameters in cephalopods exposed to contaminants is just starting, but the negative impact of some pollutants on the immune response of the common octopus has been reported. This review summarizes the current status of our knowledge about the cephalopod immune system that seems to be far from simply. On the contrary, the advances gained to date point out a complex innate immunity in cephalopods.