A hallmark of cancer is the ability of tumor cells to avoid immune destruction. Activated immune cells in tumor microenvironment (TME) secrete proinflammatory cytokines and chemokines which foster the proliferation of tumor cells. Specific antigens expressed by cancer cells are recognized by the main actors of immune response that are involved in their elimination (immunosurveillance). By the recruitment of immunosuppressive cells, decreasing the tumor immunogenicity, or through other immunosuppressive mechanisms, tumors can impair the host immune cells within the TME and escape their surveillance. Within the TME, cells of the innate (e.g., macrophages, mast cells, neutrophils) and the adaptive (e.g., lymphocytes) immune responses are interconnected with epithelial cancer cells, fibroblasts, and endothelial cells via cytokines, chemokines, and adipocytokines. The molecular pattern of cytokines and chemokines has a key role and could explain the involvement of the immune system in tumor initiation and progression. Thyroid cancer-related inflammation is an important target for diagnostic procedures and novel therapeutic strategies. Anticancer immunotherapy, especially immune checkpoint inhibitors, unleashes the immune system and activates cytotoxic lymphocytes to kill cancer cells. A better knowledge of the molecular and immunological characteristics of TME will allow novel and more effective immunotherapeutic strategies in advanced thyroid cancer.