We argue here that in many ways, Ewing sarcoma (EwS) is a unique tumor entity and yet, it shares many commonalities with other immunologically cold solid malignancies. From the historical perspective, EwS, osteosarcoma (OS) and other bone and soft-tissue sarcomas were the first types of tumors treated with the immunotherapy approach: more than 100 years ago American surgeon William B. Coley injected his patients with a mixture of heat-inactivated bacteria, achieving survival rates apparently higher than with surgery alone. In contrast to OS which exhibits recurrent somatic copy-number alterations, EwS possesses one of the lowest mutation rates among cancers, being driven by a single oncogenic fusion protein, most frequently EWS-FLI1. In spite these differences, both EwS and OS are allied with immune tolerance and low immunogenicity. We discuss here the potential mechanisms of immune escape in these tumors, including low representation of tumor-specific antigens, low expression levels of MHC-I antigen-presenting molecules, accumulation of immunosuppressive M2 macrophages and myeloid proinflammatory cells, and release of extracellular vesicles (EVs) which are capable of reprogramming host cells in the tumor microenvironment and systemic circulation. We also discuss the vulnerabilities of EwS and OS and potential novel strategies for their targeting.