Epigenetic alterations are known contributors to cancer development and aggressiveness. Additional to alterations in cancer cells, aberrant epigenetic marks are present in cells of the tumor microenvironment, including lymphocytes and tumor-associated macrophages, which are often overlooked but known to be a contributing factor to a favorable environment for tumor growth. Therefore, the main aim of this review is to give an overview of the epigenetic alterations affecting immune cells in the tumor microenvironment to provoke an immunosuppressive function and contribute to cancer development. Moreover, immunotherapy is briefly discussed in the context of epigenetics, describing both its combination with epigenetic drugs and the need for epigenetic biomarkers to predict response to immune checkpoint blockage. Combining both topics, epigenetic machinery plays a central role in generating an immunosuppressive environment for cancer growth, which creates a barrier for immunotherapy to be successful. Furthermore, epigenetic-directed compounds may not only affect cancer cells but also immune cells in the tumor microenvironment, which could be beneficial for the clinical response to immunotherapy. Thus, modulating epigenetics in combination with immunotherapy might be a promising therapeutic option to improve the success of this therapy. Further studies are necessary to (1) understand in-depth the impact of the epigenetic machinery in the tumor microenvironment; (2) how the epigenetic machinery can be modulated according to tumor type to increase response to immunotherapy and (3) find reliable biomarkers for a better selection of patients eligible to immunotherapy.