Cervical cancer (CC) is the fourth most common cancer in women worldwide, with more than 500,000 new cases each year and a mortality rate of around 55%. Over 80% of these deaths occur in developing countries. The most important risk factor for CC is persistent infection by a sexually transmitted virus, the human papillomavirus (HPV). Conventional treatments to eradicate this type of cancer are accompanied by high rates of resistance and a large number of side effects. Hence, it is crucial to devise novel effective therapeutic strategies. In recent years, an increasing number of studies have aimed to develop immunotherapeutic methods for treating cancer. However, these strategies have not proven to be effective enough to combat CC. This means there is a need to investigate immune molecular targets. An adaptive immune response against cancer has been described in seven key stages or steps defined as the cancer-immunity cycle (CIC). The CIC begins with the release of antigens by tumor cells and ends with their destruction by cytotoxic T-cells. In this paper, we discuss several molecular alterations found in each stage of the CIC of CC. In addition, we analyze the evidence discovered, the molecular mechanisms and their relationship with variables such as histological subtype and HPV infection, as well as their potential impact for adopting novel immunotherapeutic approaches.