Natural killer (NK)/T cell lymphoma (NKTCL) is a rare subtype of Epstein-Barr virus (EBV)-associated non-Hodgkin lymphoma characterized by poor clinical outcomes. It is more common in East Asian and Latin American countries. Despite the introduction of asparaginase/pegaspargase-based chemotherapy, the prognosis of patients with advanced NKTCL needs to be improved, and few salvage treatment options are available for relapsed/refractory patients who fail chemotherapy. Although many unknowns remain, novel treatment strategies to further improve outcomes are urgently needed. Immunotherapy has emerged and shown favorable antitumor activity in NKTCL, including monoclonal antibodies targeting immune checkpoint inhibitors, other receptors on the cellular membrane, and cellular immunotherapy, which could enhance immune cells attack on tumor cells. In this review, we provide an overview of recent immunotherapy in NKTCL, focusing on programmed cell death-1 (PD-1)/programmed cell death-ligand 1 (PD-L1), cytotoxic T lymphocyte-associated protein 4 (CTLA-4), chimeric antigen receptor (CAR) T cells, EBV-specific cytotoxic T lymphocytes, immunomodulatory agents, and other targeted agents, as well as the current progress and challenges in the field.