Stereotactic radiotherapy (SRT) has become an attractive treatment modality in full bloom in recent years by presenting itself as a safe, noninvasive alternative to surgery to control primary or secondary malignancies. Although the focus has been on local tumor control as the therapeutic goal of stereotactic radiotherapy, rare but intriguing observations of abscopal (or out-of-field) effects have highlighted the exciting possibility of activating antitumor immunity using high-dose radiation. Furthermore, immunotherapy has revolutionized the treatment of several types of cancers in recent years. However, resistance to immunotherapy often develops. These observations have led researchers to combine immunotherapy with SRT in an attempt to improve outcomes. The benefits of this combination would come from the stimulation and suppression of various immune pathways. Thus, in this review, we will first discuss the immunomodulation induced by SRT with the promising results of preclinical studies on the changes in the immune balance observed after SRT. Then, we will discuss the opportunities and risks of the combination of SRT and immunotherapy with the preclinical and clinical data available in the literature. Furthermore, we will see that many perspectives are conceivable to potentiate the synergistic effects of this combination with the need for prospective studies to confirm the encouraging data.