Cancer Immunotherapy relies on harnessing a patient's immune system to fine-tune specific anti-tumor responses and ultimately eradicate cancer. Among diverse therapeutic approaches, oncolytic viruses (OVs) have emerged as a novel form of cancer immunotherapy. OVs are a naturally occurring or genetically modified class of viruses able to selectively kill cancer cells, leaving healthy cells unharmed; in the last two decades, the role of OVs has been redefined to act beyond their oncolytic activity. Indeed, the immunogenic cancer cell death mediated by OVs induces the release of tumor antigens that in turn induces anti-tumor immunity, allowing OVs to act as in situ therapeutic cancer vaccines. Additionally, OVs can be engineered for intratumoral delivery of immunostimulatory molecules such as tumor antigens or cytokines to further enhance anti-tumor response. Moreover, OVs can be used in combination with other cancer immunotherapeutic approaches such as Immune Checkpoint Inhibitors and CAR-T cells. The current review first defines the three main mechanisms of action (MOA) of OVs currently used in cancer therapy that are: i) Oncolysis, ii) OV-induced cancer-specific immune activation, and iii) Exploiting pre-existing anti-viral immunity to enhance cancer therapy. Secondly, we focus on how OVs can induce and/or improve anti-cancer immunity in a specific or unspecific fashion, highlighting the importance of these approaches. Finally, the last part of the review analyses OVs combined with other cancer immunotherapies, revising present and future clinical applications.