Thymic epithelial tumors are a histologically diverse group of cancers arising from the epithelial compartment of the thymus. These tumors are characterized by a low tumor mutation burden, a lack of actionable genomic changes, and, especially with thymomas, defects in immune tolerance. Surgery is the mainstay of the management of resectable disease, whereas advanced, unresectable tumors are treated with platinum-based chemotherapy. Disease recurrence can occur months to years after frontline treatment. Although several options are available for conventional treatment of recurrent thymic tumors, response rates are generally low, and treatment-related toxicity can affect quality of life. A subset of patients benefit from biologic therapies, but there remains an unmet need for the development of new treatments. Immune checkpoint inhibitors are safe, clinically active, and have contributed to an improvement in survival for patients with a wide variety of cancers. However, the application of these revolutionary treatments for thymic cancers is limited to their use for the management of recurrent thymic carcinoma because of the risk of immune toxicity. In this paper, we review the current uses of immunotherapy for the management of thymic epithelial tumors and highlight potential strategies to improve safety and broaden the application of these treatments for patients with thymic cancers.