Sarcomas comprise a collection of highly heterogeneous malignancies that can be grossly grouped in the categories of sarcomas with simple or complex genomes. Since the outcome for most sarcoma patients has barely improved in the last decades, there is an urgent need for improved therapies. Immunotherapy, and especially T cell checkpoint blockade, has recently been a game-changer in cancer therapy as it produced significant and durable treatment responses in several cancer types. Currently, only a small fraction of sarcoma patients benefit from immunotherapy, supposedly due to a general lack of somatically mutated antigens (neoantigens) and spontaneous T cell immunity in most cancers. However, genomic events resulting from chromosomal instability are frequent in sarcomas with complex genomes and could drive immunity in those tumors. Improving our understanding of the mechanisms that shape the immune landscape of sarcomas will be crucial to overcoming the current challenges of sarcoma immunotherapy. This review focuses on what is currently known about the tumor microenvironment in sarcomas and how this relates to their genomic features. Moreover, we discuss novel therapeutic strategies that leverage the tumor microenvironment to increase the clinical efficacy of immunotherapy, and which could provide new avenues for the treatment of sarcomas.