The incidence and mortality of squamous cell carcinoma of the anus has been gradually increasing globally over the last few decades. The evolution of different modalities, including immunotherapies, has changed the treatment paradigm of metastatic anal cancers. Chemotherapy, radiation therapy, and immune-modulating therapies form the backbone of treatment of anal cancer in various stages. Most anal cancers are linked to high-risk human papilloma virus (HPV) infections. HPV oncoproteins E6 and E7 are responsible for an anti-tumor immune response triggering the recruitment of tumor-infiltrating lymphocytes. This has led to the development and utilization of immunotherapy in anal cancers. Current research in anal cancer is moving forward to discover ways to incorporate immunotherapy in the treatment sequencing in various stages of anal cancers. Immune checkpoint inhibitors alone or in combination, adoptive cell therapy, and vaccines are the areas of active investigations in anal cancer in both locally advanced and metastatic settings. Immunomodulating properties of non-immunotherapies are incorporated to enhance immune checkpoint inhibitors’ effectiveness in some of the clinical trials. The aim of this review is to summarize the potential role of immunotherapy in anal squamous cell cancers and future directions.