Recent comprehensive investigations clarified that immune microenvironment surrounding tumor cells are deeply involved in tumor progression, metastasis, and response to treatment. Furthermore, several immunotherapeutic trials have achieved successful results, and the immunotherapeutic agents are available in clinical practice. To enhance their demonstrated efficacy, combination of immunotherapy and ablation has begun to emerge. Local ablations have considerable advantages as an alternative therapeutic option, especially its minimal invasiveness. In addition, local ablations have shown immune-regulatory effect in preclinical and clinical studies. Although the corresponding mechanisms are still unclear, the local ablations combined with immunotherapy have been suggested in the treatment of several solid malignancies. This article aims to review the published data on the immune-regulatory effects of local ablations including stereotactic body radiotherapy, cryoablation, radiofrequency ablation, and high-intensity-focused ultrasound. We also discuss the value of local ablations combined with immunotherapy. Local ablations have the potential to improve future patient outcomes; however, the effectiveness and safety of local ablations combined with immunotherapy should be further investigated.