Due to the emergence of traditional drug resistance in tumor treatment, the anti-cancer therapies are facing multiple challenges. Immunotherapy, as a new and universal treatment, has been gradually concerned. The macrophages, as an important part of the immune system, play an important role in it. Many studies have shown that immune state is essential in cancer progression and prognosis, rebuilding the architecture and functional orientation of the tumor region. Most tumors are complex ecosystems that change temporally and spatially under the pressure of proliferation, apoptosis, and extension of every cell in the microenvironment. Here, we review how macrophages states can be dynamically altered in different metabolic states and we also focus on the formation of immune exhaustion. Finally, we look forward to the explorations of clinical treatment for immune metabolism process.