Gastrointestinal (GI) cancer constitutes a highly lethal entity among malignancies in the last decades and is still a major challenge for cancer therapeutic options. Despite the current combinational treatment strategies, including chemotherapy, surgery, radiotherapy, and targeted therapies, the survival rates remain notably low for patients with advanced disease. A better knowledge of the molecular mechanisms that influence tumor progression and the development of optimal therapeutic strategies for GI malignancies are urgently needed. Currently, the development and the assessment of the efficacy of immunotherapeutic agents in GI cancer are in the spotlight of several clinical trials. Thus, several new modalities and combinational treatments with other anti-neoplastic agents have been identified and evaluated for their efficiency in cancer management, including immune checkpoint inhibitors, adoptive cell transfer, chimeric antigen receptor (CAR)-T cell therapy, cancer vaccines, and/or combinations thereof. Understanding the interrelation among the tumor microenvironment, cancer progression, and immune resistance is pivotal for the optimal therapeutic management of all gastrointestinal solid tumors. This review will shed light on the recent advances and future directions of immunotherapy for malignant tumors of the GI system.