Ewing Sarcoma (EWS) is an aggressive bone and soft tissue tumor that mainly affects children, adolescents, and young adults. The standard therapy, including chemotherapy, surgery, and radiotherapy, has substantially improved the survival of EWS patients with localized disease. Unfortunately, this multimodal treatment remains elusive in clinics for those patients with recurrent or metastatic disease who have an unfavorable prognosis. Consistently, there is an urgent need to find new strategies for patients that fail to respond to standard therapies. In this regard, in the last decade, treatments targeting epigenetic dependencies in tumor cells and the immune system have emerged into the clinical scenario. Additionally, recent advances in nanomedicine provide novel delivery drug systems, which may address challenges such as side effects and toxicity. Therefore, therapeutic strategies stemming from epigenetics, immunology, and nanomedicine yield promising alternatives for treating these patients. In this review, we highlight the most relevant EWS preclinical and clinical studies in epigenetics, immunotherapy, and nanotherapy conducted in the last five years.