Glioblastoma (GB) is the most aggressive and most common malignant primary brain tumor diagnosed in adults. GB shows a poor prognosis and, unfortunately, current therapies are unable to improve its clinical outcome, imposing the need for innovative therapeutic approaches. The main reason for the poor prognosis is the great cell heterogeneity of the tumor mass and its high capacity for invading healthy tissues. Moreover, the glioblastoma microenvironment is capable of suppressing the action of the immune system through several mechanisms such as recruitment of cell modulators. Development of new therapies that avoid this immune evasion could improve the response to the current treatments for this pathology. Natural Killer (NK) cells are cellular components of the immune system more difficult to deceive by tumor cells and with greater cytotoxic activity. Their use in immunotherapy gains strength because they are a less toxic alternative to existing therapy, but the current research focuses on mimicking the NK attack strategy. Here, we summarize the most recent studies regarding molecular mechanisms involved in the GB and immune cells interaction and highlight the relevance of NK cells in the new therapeutic challenges.