Glial-origin brain tumors, including glioblastomas (GBM), have one of the worst prognoses due to their rapid and fatal progression. From an oncological point of view, advances in complete surgical resection fail to eliminate the entire tumor and the remaining cells allow a rapid recurrence, which does not respond to traditional therapeutic treatments. Here, we have reviewed new immunotherapy strategies in association with the knowledge of the immune micro-environment. To understand the best lines for the future, we address the advances in the design of neoantigen vaccines and possible new immune modulators. Recently, the efficacy and availability of vaccine development with different formulations, especially liposome plus mRNA vaccines, has been observed. We believe that the application of new strategies used with mRNA vaccines in combination with personalized medicine (guided by different omic’s strategies) could give good results in glioma therapy. In addition, a large part of the possible advances in new immunotherapy strategies focused on GBM may be key improving current therapies of immune checkpoint inhibitors (ICI), given the fact that this type of tumor has been highly refractory to ICI.