Oligodendroglioma is a central nervous system tumor defined by IDH1/2 mutations and 1p/19q co-deletion. Current management involves maximal resection followed by radiotherapy/chemotherapy, yielding a 20-year survival rate of 37% for grade 3 tumors according to the WHO 2021 classification. As these tumors primarily affect young to middle-aged patients, novel therapies are urgently needed to improve outcomes. Immunotherapy has revolutionized tumor treatment by modulating immune responses. However, its application in oligodendrogliomas faces two major hurdles, including the immunosuppressive tumor microenvironment (TME) and the blood–brain barrier’s restrictive properties. This review first examines oligodendroglioma’s molecular alterations to refine diagnosis and guide targeted therapies. Next, we focus on the oligodendroglioma TME to evaluate emerging immunotherapies, including oncolytic viruses, immune checkpoint blockade, chimeric antigen receptor (CAR) T-cell therapy, and cancer vaccines. Finally, we discuss current challenges and future directions to overcome therapeutic limitations and advance treatment strategies.