The understanding of the relationship between immunological responses and cancers, especially those related to HPV, has allowed for the study and development of therapeutic vaccines against these neoplasias. There is a growing number of studies about the composition and influence of the tumor microenvironment (TME) in the progression or establishment of the most varied types of cancer. Hence, it has been possible to structure immunotherapy approaches based on therapeutic vaccines that are even more specific and directed to components of TME and the immune response associated with tumors. Among these components are dendritic cells (DCs), which are the main professional antigen-presenting cells (APCs) already studied in therapy strategies for HPV-related cancers. On the other hand, tumor-associated macrophages are also potential targets since the profile present in tumor infiltrates, M1 or M2, influences the prognosis of some types of cancer. These two cell types can be targets for therapy or immunomodulation. In this context, our review aims to provide an overview of immunotherapy strategies for HPV-positive tumors, such as cervical and head and neck cancers, pointing to TME immune cells as promising targets for these approaches. This review also explores the potential of immunotherapy in cancer treatment, including checkpoint inhibitors, cytokine immunotherapies, immunotherapy vaccines, and cell therapies. Furthermore, it highlights the importance of understanding the TME and its effect on the design and achievement of immunotherapeutic methods.