Tumors modulate the host immune cells within their microenvironment to avoid recognition and elimination by our immune system, a phenotype called cancer immune escape. Different mechanisms responsible for cancer immune escape that result either in decreased tumor immunogenicity or in increased tumor immunosuppressive activity have been identified. Recently, various immunotherapeutic approaches have been developed with the aim to revert tumor immune escape. The aims of this review are to explore the immunological aspects of thyroid cancer and to assess whether these features can be exploited in the prognosis and treatment of advanced forms of this disease. Therefore, we will describe the immune landscape and phenotypes of thyroid cancer, summarize studies investigating the expression of immunomodulatory molecules, and finally describe the preclinical and clinical trials investigating the utility of immunotherapies in the management of thyroid cancer. The aim of this review is to explore the immunological aspects of thyroid cancer and to assess whether these features can be exploited in the prognosis and treatment of advanced forms of this disease. Therefore, we will describe the immune-landscape and phenotypes of thyroid cancer, we will summarize studies investigating the expression of immunomodulatory molecules, and we will finally describe the preclinical and clinical trials investigating the utility of immunotherapies in the management of thyroid cancer.