Immunotherapy has shifted the treatment paradigm for many types of cancer. Unfortunately, the most commonly used immunotherapies, such as immune checkpoint inhibitors (ICI), have yielded limited benefit for most types of soft tissue sarcoma (STS). Radiotherapy (RT) is a mainstay of sarcoma therapy and can induce immune modulatory effects. Combining immunotherapy and RT in STS may be a promising strategy to improve sarcoma response to RT and increase the efficacy of immunotherapy. Most combination strategies have employed immunotherapies, such as ICI, that derepress immune suppressive networks. These have yielded only modest results, possibly due to the limited immune stimulatory effects of RT. Combining RT with immune stimulatory agents has yielded promising preclinical and clinical results but can be limited by the toxic nature of systemic administration of immune stimulants. Using intralesional immune stimulants may generate stronger RT immune modulation and less systemic toxicity, which may be a feasible strategy in accessible tumors such as STS. In this review, we summarize the immune modulatory effects of RT, the mechanism of action of various immune stimulants, including toll-like receptor agonists, and data for combinatorial strategies utilizing these agents.