Sarcomas are tumors originated from mesenchymal cells. The variety of sarcomas’ response to chemotherapy and the wide range of prognosis reflect their heterogeneity. In order to improve the rates of response, the research has been orientated towards other forms of therapy, such as targeted therapies and immunotherapy or towards combinations of them. Immune checkpoint inhibitors (ICIs) have been the highlight of immunotherapy the last decade. Although ICIs are already included in the guidelines of different malignancies, their clinical benefit in sarcomas is still under study. Alveolar soft part sarcomas (ASPS), undifferentiated pleomorphic sarcomas (UPS) and other subtypes of sarcoma with high presence of tertiary lymphoid structures (TLS) tend to respond to ICIs, but further investigation is still needed. Furthermore, the search of predictive biomarkers to determine the type of sarcomas, that are sensitive to ICIs, is still very challenging. This review will focus on the results of clinical trials, which examine the effect of ICIs and their combination with chemotherapy, targeted therapies and other forms of immunotherapy in sarcomas.