Photodynamic therapy (PDT) causes selective damage to tumor cells and vasculature and also triggers an anti-tumor immune response. The latter fact has prompted the exploration of PDT as an immune-stimulatory adjuvant. PDT is not the only cancer treatment that relies on electromagnetic energy to destroy cancer tissue. Ionizing radiation therapy (RT) and photothermal therapy (PTT) are two other treatment modalities that employ photons (with wavelengths either shorter or longer than PDT, respectively) and also cause tissue damage and immunomodulation. Research on the three modalities has occurred in different “silos”, with minimal interaction between the three topics. This is happening at a time when immune checkpoint inhibition (ICI), another focus of intense research and clinical development, has opened exciting possibilities for combining PDT, PTT, or RT with ICI to achieve improved therapeutic benefits. In this review, we surveyed the literature for studies that describe changes in anti-tumor immunity following the administration of PDT, PTT, and RT, including efforts to combine each modality with ICI. This information, collected all in one place, may make it easier to recognize similarities and differences and help to identify new mechanistic hypotheses toward the goal of achieving optimized combinations and tumor cures.