The tremendous success of immunotherapy in clinical trials has led to its establishment as a new pillar of cancer therapy. However, little clinical efficacy has been achieved in microsatellite stable colorectal cancer (MSS-CRC), which constitutes most CRC tumors. Here, we discuss the molecular and genetic heterogeneity of CRC. We review the immune escape mechanisms, and focus on the latest advances in immunotherapy as a treatment modality for CRC. By providing a better understanding of the tumor microenvironment (TME) and the molecular mechanisms underlying immunoevasion, this review offers an insight into developing therapeutic strategies that are effective for patients with various subsets of CRC.