Malignant pleural mesothelioma (MPM) is a rare cancer usually caused by asbestos exposure and associated with a very poor prognosis. After more than a decade without new therapeutic options, immune checkpoint inhibitors (ICIs) demonstrated superiority over standard chemotherapy, with improved overall survival in the first and later-line settings. However, a significant proportion of patients still do not derive benefit from ICIs, highlighting the need for new treatment strategies and predictive biomarkers of response. Combinations with chemo-immunotherapy or ICIs and anti-VEGF are currently being evaluated in clinical trials and might change the standard of care in the near future. Alternatively, some non-ICI immunotherapeutic approaches, such as mesothelin targeted CAR-T cells or denditric-cells vaccines, have shown promising results in early phases of trials and are still in development. Finally, immunotherapy with ICIs is also being evaluated in the peri-operative setting, in the minority of patients presenting with resectable disease. The goal of this review is to discuss the current role of immunotherapy in the management of malignant pleural mesothelioma, as well as promising future therapeutic directions.