Thymic epithelial tumors (TETs) comprise a rare group of thoracic cancers, classified as thymomas and thymic carcinomas (TC). To date, chemotherapy is still the standard treatment for advanced disease. Unfortunately, few therapeutic options are available for relapsed/refractory tumors. Unlike other solid cancers, the development of targeted biologic and/or immunologic therapies in TETs remains in its nascent stages. Moreover, since the thymus plays a key role in the development of immune tolerance, thymic tumors have a unique biology, which can confer susceptibility to autoimmune diseases and ultimately influence the risk–benefit balance of immunotherapy, especially for patients with thymoma. Indeed, early results from single-arm studies have shown interesting clinical activity, albeit at a cost of a higher incidence of immune-related side effects. The lack of knowledge of the immune mechanisms associated with TETs and the absence of biomarkers predictive of response or toxicity to immunotherapy risk limiting the evolution of immunotherapeutic strategies for managing these rare tumors. The aim of this review is to summarize the existing literature about the thymus’s immune biology and its association with autoimmune paraneoplastic diseases, as well as the results of the available studies with immune checkpoint inhibitors and cancer vaccines.