Over decades, researchers have focused on the epigenetic control of DNA-templated processes. Histone modification, DNA methylation, chromatin remodeling, RNA modification, and noncoding RNAs modulate many biological processes that are crucial to the development of cancers. Dysregulation of the epigenome drives aberrant transcriptional programs. A growing body of evidence suggests that the mechanisms of epigenetic modification are dysregulated in human cancers and might be excellent targets for tumor treatment. Epigenetics has also been shown to influence tumor immunogenicity and immune cells involved in antitumor responses. Thus, the development and application of epigenetic therapy and cancer immunotherapy and their combinations may have important implications for cancer treatment. Here, we present an up-to-date and thorough description of how epigenetic modifications in tumor cells influence immune cell responses in the tumor microenvironment (TME) and how epigenetics influence immune cells internally to modify the TME. Additionally, we highlight the therapeutic potential of targeting epigenetic regulators for cancer immunotherapy. Harnessing the complex interplay between epigenetics and cancer immunology to develop therapeutics that combine thereof is challenging but could yield significant benefits. The purpose of this review is to assist researchers in understanding how epigenetics impact immune responses in the TME, so that better cancer immunotherapies can be developed.