In the past 20 years, the immune system has increasingly been recognized as a major player in tumor cell control, leading to considerable advances in cancer treatment. While promising with regards to melanoma, renal cancer and non-small cell lung cancer, immunotherapy provides, for the time being, limited success in other cancers, including ovarian cancer, potentially due to insufficient immunogenicity or to a particularly immunosuppressive microenvironment. In this review, we provide a global description of the immune context of ovarian cancer, in particular epithelial ovarian cancer (EOC). We describe the adaptive and innate components involved in the EOC immune response, including infiltrating tumor-specific T lymphocytes, B lymphocytes, and natural killer and myeloid cells. In addition, we highlight the rationale behind the use of EOC preclinical mouse models to assess resistance to immunotherapy, and we summarize the main preclinical studies that yielded anti-EOC immunotherapeutic strategies. Finally, we focus on major published or ongoing immunotherapy clinical trials concerning EOC.