Coronary artery disease (CAD) is the leading cause of death worldwide. It is a result of the buildup of atherosclerosis within the coronary arteries. The role of the immune system in CAD is complex and multifaceted. The immune system responds to damage or injury to the arterial walls by initiating an inflammatory response. However, this inflammatory response can become chronic and lead to plaque formation. Neutrophiles, macrophages, B lymphocytes, T lymphocytes, and NKT cells play a key role in immunity response, both with proatherogenic and antiatherogenic signaling pathways. Recent findings provide new roles and activities referring to endothelial cells and vascular smooth muscle cells, which help to clarify the intricate signaling crosstalk between the involved actors. Research is ongoing to explore immunomodulatory therapies that target the immune system to reduce inflammation and its contribution to atherosclerosis. This review aims to summarize the pathogenic interplay between immunity and CAD and the potential therapeutic strategies, and explore immunomodulatory therapies that target the immune system to reduce inflammation and its contribution to atherosclerosis.