Pulmonary hypertension (PH) is a debilitating progressive disease characterized by increased pulmonary arterial pressures, leading to right ventricular (RV) failure, heart failure and, eventually, death. Based on the underlying conditions, PH patients can be subdivided into the following five groups: (1) pulmonary arterial hypertension (PAH), (2) PH due to left heart disease, (3) PH due to lung disease, (4) chronic thromboembolic PH (CTEPH), and (5) PH with unclear and/or multifactorial mechanisms. Currently, even with PAH-specific drug treatment, prognosis for PAH and CTEPH patients remains poor, with mean five-year survival rates of 57%–59% and 53%–69% for PAH and inoperable CTEPH, respectively. Therefore, more insight into the pathogenesis of PAH and CTEPH is highly needed, so that new therapeutic strategies can be developed. Recent studies have shown increased presence and activation of innate and adaptive immune cells in both PAH and CTEPH patients. Moreover, extensive biomarker research revealed that many inflammatory and immune markers correlate with the hemodynamics and/or prognosis of PAH and CTEPH patients. Increased evidence of the pathological role of immune cells in innate and adaptive immunity has led to many promising pre-clinical interventional studies which, in turn, are leading to innovative clinical trials which are currently being performed. A combination of immunomodulatory therapies might be required besides current treatment based on vasodilatation alone, to establish an effective treatment and prevention of progression for this disease. In this review, we describe the recent progress on our understanding of the involvement of the individual cell types of the immune system in PH. We summarize the accumulating body of evidence for inflammation and immunity in the pathogenesis of PH, as well as the use of inflammatory biomarkers and immunomodulatory therapy in PAH and CTEPH.