Neuroendocrine neoplasms are rare entities consisting of a heterogeneous group of tumors that can originate from neuroendocrine cells present in the whole body. Their different behavior, metastatic potential, and prognosis are highly variable, depending on site of origin, grade of differentiation, and proliferative index. The aim of our work is to summarize the current knowledge of immunotherapy in different neuroendocrine neoplasms and its implication in clinical practice. Several studies evaluated the efficacy and safety of immunotherapy in neuroendocrine neoplasms, in any setting of treatment, alone or in combination. Studies led to approval in neuroendocrine neoplasia of the lung, in combination with chemotherapy as first-line treatment or as a single-agent in a third-line setting, and Merkel cell carcinoma as a single agent. Results in other settings have been disappointing so far. Immunotherapy seems a valid treatment option for high grade, poorly differentiated neoplasms. Future trials should explore the combination of immunotherapy with other agents, such as anti-angiogenic or other immunotherapy agents, in order to evaluate potential efficacy in low and intermediate grades, well differentiated tumors.