The worldwide prevalence and incidence of gastroenteropancreatic neuroendocrine neoplasms (GEP-NENs) and of NENs, in general, have been increasing recently. While valuing the considerable progress made in the treatment strategies for GEP-NEN in recent years, patients with advanced, metastasized disease still have a poor prognosis, which calls for urgent novel therapies. The immune system plays a dual role: both host-protecting and “tumor-promoting.” Hence, immunotherapy is potentially a powerful weapon to help NEN patients. However, although recent successes with checkpoint inhibitors have shown that enhancing antitumor immunity can be effective, the dynamic nature of the immunosuppressive tumor microenvironment presents significant hurdles to the broader application of these therapies. Studies led to their approval in NEN of the lung and Merkel cell carcinoma, whereas results in other settings have not been so encouraging. Oncolytic viruses can selectively infect and destroy cancer cells, acting as an in situ cancer vaccine. Moreover, they can remodel the tumor microenvironment toward a T cell-inflamed phenotype. Oncolytic virotherapy has been proposed as an ablative and immunostimulatory treatment strategy for solid tumors that are resistant to checkpoint inhibitors alone. Future efforts should focus on finding the best way to include immunotherapy in the GEP-NEN treatment scenario. In this context, this study aims at providing a comprehensive generalized review of the immune checkpoint blockade and the oncolytic virotherapy use in GEP-NENs that might improve GEP-NEN treatment strategies.