Immunotherapy has arisen in use in the field of oncology with seven immune checkpoint inhibitors approved for the treatment of a variety of cancer histologies. Depending on the cancer type, the success rate might be different, but in average it is about 20%, with some cases showing a durable response, lasting also after the interruption of the treatment, with a clear benefit on OS. The development of an efficacious cure for advanced thyroid carcinomas is still an unmet need and immunotherapy represents an interesting alternative option also for this cancer. However, very few clinical trials have been accomplished and very few studies exploring a way to overcome resistance have been performed. In this review, we will summarize the mechanisms of immune escape, with a special reference to follicular-derived thyroid carcinoma. Furthermore, we will try to speculate on the use of immune checkpoint inhibitors for the treatment of follicular-derived advanced thyroid carcinoma. Finally, we will summarize the ongoing clinical trials and the future directions of the field.