Pericytes (PC) are mural cells that surround endothelial cells in small blood vessels. PC have traditionally been credited with structural functions, being essential for vessel maturation and stabilization. However, an accumulating body of evidence suggests that PC also display immune properties. They can respond to a series of pro-inflammatory stimuli and are able to sense different types of danger due to their expression of functional pattern-recognition receptors, contributing to the onset of innate immune responses. In this context, PC not only secrete a variety of chemokines but also overexpress adhesion molecules such as ICAM-1 and VCAM-1 involved in the control of immune cell trafficking across vessel walls. In addition to their role in innate immunity, PC are involved in adaptive immunity. It has been reported that interaction with PC anergizes T cells, which is attributed, at least in part, to the expression of PD-L1. As components of the tumor microenvironment, PC can also modulate the antitumor immune response. However, their role is complex, and further studies will be required to better understand the crosstalk of PC with immune cells in order to consider them as potential therapeutic targets. In any case, PC will be looked at with new eyes by immunologists from now on.