Ewing sarcoma (ES) is a rare and highly aggressive bone and soft tissue malignancy predominantly affecting children and young adults. It poses significant challenges in treatment due to its propensity for metastasis and resistance to conventional therapies. Despite advancements in multimodal treatment, which includes chemotherapy, surgery, and radiotherapy, outcomes remain poor for patients with metastatic or recurrent disease. Therefore, novel therapeutic strategies are urgently required. Among these, immune-based therapies have emerged as a promising frontier. This review provides an in-depth analysis of current and emerging immunotherapeutic approaches in ES, including immune checkpoint inhibitors, chimeric antigen receptor (CAR) T-cell therapy, engineered T-cell receptor (TCR) therapy, and cancer vaccines. Preclinical studies have demonstrated the potential of these strategies, particularly in overcoming challenges related to immune evasion and targeting tumor-specific antigens. Furthermore, this article discusses the role of key components in the tumor microenvironment, such as tumor-associated macrophages, fibrocytes, and extracellular vesicles, in promoting tumor progression and immune suppression. The review also highlights completed and ongoing clinical trials that evaluate various immunotherapies for ES, shedding light on their efficacy and safety profiles. Despite encouraging progress, several obstacles remain, including limited response rates, resistance mechanisms, and adverse effects. To overcome these challenges, combination therapies, targeting both the tumor and its microenvironment, may hold promise. By summarizing current advances and future directions, this review underscores the potential of immunotherapy to improve outcomes for ES patients. Continued research into innovative immune-based strategies is crucial to achieving durable responses and long-term survival in this hard-to-treat malignancy.