Immunotherapeutic treatments are gaining attention due to their effective anti-tumor response. Particularly, the revolution of immune checkpoint inhibitors (ICIs) produces promising outcomes for various cancer types. However, the usage of immunotherapy is limited due to its low response rate, suggesting that tumor cells escape the immune surveillance. Rapid advances in transcriptomic profiling have led to recognize immune-related long non-coding RNAs (LncRNAs), as regulators of immune cell-specific gene expression that mediates immune stimulatory as well as suppression of immune response, indicating LncRNAs as targets to improve the efficacy of immunotherapy against tumours. Moreover, the immune-related LncRNAs acting as epigenetic modifiers are also under deep investigation. Thus, herein, is a summarised knowledge of LncRNAs and their regulation in the adaptive and innate immune system, considering their importance in autophagy and predicting putative immunotherapeutic responses.