Epigenetic mechanisms play vital roles not only in cancer initiation and progression, but also in the activation, differentiation and effector function(s) of immune cells. In this review, we summarize current literature related to epigenomic dynamics in immune cells impacting immune cell fate and functionality, and the immunogenicity of cancer cells. Some important immune-associated genes, such as granzyme B, IFN-γ, IL-2, IL-12, FoxP3 and STING, are regulated via epigenetic mechanisms in immune or/and cancer cells, as are immune checkpoint molecules (PD-1, CTLA-4, TIM-3, LAG-3, TIGIT) expressed by immune cells and tumor-associated stromal cells. Thus, therapeutic strategies implementing epigenetic modulating drugs are expected to significantly impact the tumor microenvironment (TME) by promoting transcriptional and metabolic reprogramming in local immune cell populations, resulting in inhibition of immunosuppressive cells (MDSCs and Treg) and the activation of anti-tumor T effector cells, professional antigen presenting cells (APC), as well as cancer cells which can serve as non-professional APC. In the latter instance, epigenetic modulating agents may coordinately promote tumor immunogenicity by inducing de novo expression of transcriptionally repressed tumor-associated antigens, increasing expression of neoantigens and MHC processing/presentation machinery, and activating tumor immunogenic cell death (ICD). ICD provides a rich source of immunogens for anti-tumor T cell cross-priming and sensitizing cancer cells to interventional immunotherapy. In this way, epigenetic modulators may be envisioned as effective components in combination immunotherapy approaches capable of mediating superior therapeutic efficacy.