Soft tissue sarcomas (STSs) are a family of rare malignant tumors encompassing more than 80 histologies. Current therapies for metastatic STS, a condition that affects roughly half of patients, have limited efficacy, making innovative therapeutic strategies urgently needed. From a molecular point of view, STSs can be classified as translocation-related and those with a heavily rearranged genotype. Although only the latter display an increased mutational burden, molecular profiles suggestive of an “immune hot” tumor microenvironment are observed across STS histologies, and response to immunotherapy has been reported in both translocation-related and genetic complex STSs. These data reinforce the notion that immunity in STSs is multifaceted and influenced by both genetic and epigenetic determinants. Cumulative evidence indicates that a fine characterization of STSs at different levels is required to identify biomarkers predictive of immunotherapy response and to discover targetable pathways to switch on the immune sensitivity of “immune cold” tumors. In this review, we will summarize recent findings on the interplay between genetic landscape, molecular profiling and immunity in STSs. Immunological and molecular features will be discussed for their prognostic value in selected STS histologies. Finally, the local and systemic immunomodulatory effects of the targeted drugs imatinib and sunitinib will be discussed.