Differential splicing of mRNAs not only enables regulation of gene expression levels, but also ensures a high degree of gene-product diversity. The extent to which splicing of mRNAs is utilized as a mechanism in immune cells has become evident within the last few years. Still, only a few of these mechanisms have been well studied. In this review, we discuss some of the best-understood mechanisms, for instance the differential splicing of CD45 in T cells, as well as immunoglobulin genes in B cells. Beyond that we provide general mechanistic insights on how, when and where this process takes place and discuss the current knowledge regarding these topics in immune cells. We also highlight some of the reported links to immune-related diseases, genome-wide sequencing studies that revealed thousands of differentially spliced transcripts, as well as splicing studies on immune cells that remain mechanistically not fully understood. We thereby display potential emerging topics for future studies centered on splicing mechanisms in immune cells.