Malignant pleural mesothelioma (MPM) is an aggressive, primary pleural malignancy with poor prognosis, hypothesized to originate from a chronic inflammatory state within the pleura. Similar to what has been observed in other solid tumors (melanoma, ovarian and colorectal cancer), clinical and pre-clinical MPM investigations have correlated anti-tumor immune responses with improved survival. As such, a better understanding of the complex MPM tumor microenvironment is imperative in strategizing successful immunotherapies. Herein, we review the immune responses vital to the development and progression of MPM, as well as assess the role of immunomodulatory therapies, highlighting recent pre-clinical and clinical immunotherapy investigations.