Although multimodal therapies including surgery, chemotherapy, and radiotherapy have improved clinical outcomes of patients with bone and soft tissue sarcomas, the prognosis of patients has plateaued over these 20 years. Immunotherapies have shown the effectiveness for several types of advanced tumors. Immunotherapies, such as cytokine therapies, vaccinations, and adoptive cell transfers, have also been investigated for bone and soft tissue sarcomas. Cytokine therapies with interleukin-2 or interferons have limited efficacy because of their cytotoxicities. Liposomal muramyl tripeptide phosphatidylethanolamine (L-MTP-PE), an activator of the innate immune system, has been approved as adjuvant therapeutics in combination with conventional chemotherapy in Europe, which has improved the 5-year overall survival of patients. Vaccinations and transfer of T cells transduced to express chimeric antigen receptors have shown some efficacy for sarcomas. Ipilimumab and nivolumab are monoclonal antibodies designed to inhibit immune checkpoint mechanisms. These antibodies have recently been shown to be effective for patients with melanoma and also investigated for patients with sarcomas. In this review, we provide an overview of various trials of immunotherapies for bone and soft tissue sarcomas, and discuss their potential as adjuvant therapies in combination with conventional therapies.