Neuroendocrine neoplasms (NEN) are heterogeneous tumors with peculiar features in biological characterization and clinical presentation, showing increasing incidence in the past decades. NEN arise from the cells of the diffuse neuroendocrine system, strongly related to the immune system regarding innate immunity, adaptive immunity, and maintenance of immune tolerance. In other cancers, it has already been demonstrated that immune response may have a role in development and progression of cancer, as well as in response to therapy. Nevertheless, the relationship between NEN and immune system is far to be elucidated. In this chapter, an overview of the literature about the interplay between NEN and immune system is presented, with emphasis on existing immunotherapies according to primary site of NEN origin, particularly the gastroenteropancreatic (GEP) and pulmonary tract. Furthermore, a rare but immunogenic NEN with dismal prognosis, the Merkel cell carcinoma, is discussed. The relative rarity of NEN and their high biological heterogeneity hinder a chance to create reliable study models, and to date, scattered data are available regarding tumor microenvironment in NEN. Many different immunotherapies have recently become available, and to optimize their efficacy, they are tested alone or in combination with other drugs. In GEP-NEN, immunotherapies seem to be effective only in less differentiated forms, but they are not currently part of the therapeutic algorithm. Among lung NEN, immunotherapies have shown efficacy in the most aggressive small cell lung carcinoma, where need for other effective therapies is compelling. Importantly, in patients with Merkel cell carcinoma, significant improvement in survival after introduction of immunotherapies has been reported. Immunotherapy has proved efficacy toward aggressive NEN, like small cell lung cancer and Merkel cell carcinoma. Deepening knowledge of the immune response in NEN will certainly allow a better characterization of tumor pathways and additionally will further expand the therapeutic options in this field, exploring new combination and treatment sequences.