Despite the rising evidence in favor of immunotherapy (IT), the treatment of oncological patients affected by so-called “cold tumors” still represents an open issue. Cold tumors are characterized by an immunosuppressive (so-called cold) tumor microenvironment (TME), which favors host immune system suppression, cancer immune-escape, and a worse response to IT. However, the TME is not a static element, but dynamically mutates and can be changed. Radiotherapy (RT) can modulate a cold microenvironment, rendering it better at tumor killing by priming the quiescent host immune system, with a consequent increase in immunotherapy response. The combination of TME radiomodulation and IT could therefore be a strategy for those patients affected by cold tumors, with limited or no response to IT. Thus, this review aims to provide an easy, rapid, and practical overview of how RT could convert the cold TME and why cold tumor radiomodulation could represent an interesting strategy in combination with IT.