Malignant Pleural Mesothelioma (MPM) is a rare and aggressive neoplasm of the pleural mesothelium, mainly associated with asbestos exposure and still lacking effective therapies. Modern targeted biological strategies that have revolutionized the therapy of other solid tumors have not had success so far in the MPM. Combination immunotherapy might achieve better results over chemotherapy alone, but there is still a need for more effective therapeutic approaches. Based on the peculiar disease features of MPM, several strategies for local therapeutic delivery have been developed over the past years. The common rationale of these approaches is: (i) to reduce the risk of drug inactivation before reaching the target tumor cells; (ii) to increase the concentration of active drugs in the tumor micro-environment and their bioavailability; (iii) to reduce toxic effects on normal, non-transformed cells, because of much lower drug doses than those used for systemic chemotherapy. The complex interactions between drugs and the local immune-inflammatory micro-environment modulate the subsequent clinical response. In this perspective, the main interest is currently addressed to the development of local drug delivery platforms, both cell therapy and engineered nanotools. We here propose a review aimed at deep investigation of the biologic effects of the current local therapies for MPM, including cell therapies, and the mechanisms of interaction with the tumor micro-environment.