Obesity, a condition of excess adiposity usually defined by a BMI > 30, can have profound effects on both metabolism and immunity, connecting the condition with a broad range of diseases, including cancer and negative outcomes. Obesity and cancer have been associated with increased incidence, progression, and poorer outcomes of multiple cancer types in part due to the pro-inflammatory state that arises. Surprisingly, obesity has also recently been demonstrated in both preclinical models and clinical outcomes to be associated with improved response to immune checkpoint inhibition (ICI). These observations have laid the foundation for what has been termed the “obesity paradox”. The mechanisms underlying these augmented immunotherapy responses are still unclear given the pleiotropic effects obesity exerts on cells and tissues. Other important variables such as age and sex are being examined as further affecting the obesity effect. Sex-linked factors exert significant influences on obesity biology, metabolism as well as differential effects of different immune cell-types. Age can be another confounding factor contributing to the effects on both sex-linked changes, immune status, and obesity. This review aims to revisit the current body of literature describing the immune and metabolic changes mediated by obesity, the role of obesity on cancer immunotherapy, and to highlight questions on how sex-linked differences may influence obesity and immunotherapy outcome.