Sarcomas comprise a rare and heterogeneous group of malignancies of bone and soft tissue origin. Despite optimal approach, a significant proportion of patients will develop recurrent/metastatic disease. Although advances have been achieved, therapeutic options for these patients are limited and prognosis remains poor. Over the past century, the characterization of mechanisms involved in the interaction between tumor cells and the immune system has paved the way for the development of different forms of cancer immunotherapy, including cytokines, vaccines, cell therapies, and, more recently and successfully, monoclonal antibodies against molecules involved in the modulation of immune response, or immune checkpoint inhibitors. While the clinical applicability of this approach has been limited in sarcomas, the immunogenic potential of this group of malignancies was demonstrated more than 100 years ago. In this article, we review aspects associated with the immunogenicity of sarcomas and how the use of checkpoint inhibitors is being explored for this group of patients.