Personalized cancer treatments help to deliver tailored and biologically driven therapies for cancer patients. Interventional oncology techniques are able to treat malignancies in a locoregional fashion, with a variety of mechanisms of action leading to tumor necrosis. Tumor destruction determines a great availability of tumor antigens that can be recognized by the immune system, potentially triggering an immune response. The advent of immunotherapy in cancer care, with the introduction of specific immune checkpoint inhibitors, has led to the investigation of the synergy of these drugs when used in combination with interventional oncology treatments. The aim of this paper is to review the most recent advances in the field of interventional oncology locoregional treatments and their interactions with immunotherapy.