Cholesterol and its metabolism seem to be involved not only in cancer progression but also in immune cells activity. In this comprehensive review, we summarize preclinical, translational, and clinical evidence regarding the crucial role of cholesterol and its metabolism in regulating the immune response against cancer cells, shedding light on the multifaceted mechanisms by which cholesterol influences immune cell function and anti-tumor immunity. By synthesizing findings from preclinical studies, we have elucidated the impact of cholesterol on immune cell activation, differentiation, and effector functions. These investigations have revealed that cholesterol metabolism plays a pivotal role in shaping the immune response, with alterations in cholesterol levels directly impacting immune cell behavior and anti-tumor activity. All the steps related to cholesterol metabolism, including its de-novo synthesis, its influx and efflux mechanisms, as well as its metabolites, have a distinct impact on immune cells function and activity, which, if altered, might influence tumor progression. In addition, we have reviewed clinical studies investigating the role of circulating cholesterol on outcomes of patients with advanced tumors treated with immune checkpoint inhibitors, highlighting again in a clinical scenario the correlation between cholesterol and the immune system. Overall, our review emphasizes the importance of cholesterol and its metabolism in orchestrating the immune response against cancer cells. Herein we have provided a comprehensive overview of this emerging field by illustrating the intricate interplay between cholesterol and immune system.