Treatment options for malignant mesothelioma are limited, and the results with conventional therapies have been rather disappointing to this date. Chemotherapy is the only evidence-based treatment for mesothelioma patients in good clinical condition, with an increase in median survival of only 2 months. Therefore, there is urgent need for a different approach to battle this malignancy. As chronic inflammation precedes mesothelioma, the immune system plays a key role in the initiation of this type of tumour. Also, many immunological cell types can be found within the tumour at different stages of the disease. However, mesothelioma cells can evade the surveillance capacity of the immune system. They build a protective tumour microenvironment to harness themselves against the immune system's attacks, in which they even abuse immune cells to act against the antitumour immune response. In our opinion, modulating the immune system simultaneously with the targeting of mesothelioma tumour cells might prove to be a superior treatment. However, this strategy is challenging since the tumour microenvironment possesses numerous forms of defence strategies. In this paper, we will discuss the interplay between immunological cells that can either inhibit or stimulate tumour growth and the challenges associated with immunotherapy. We will provide possible strategies and discuss opportunities to overcome these problems.