Targeted therapies have induced high response rates and improved survival in patients with cancer. However, the long-term effectiveness of targeted therapies has been limited by the development of acquired resistance in the majority of patients. On the other hand, the modern immunotherapy strategies have been associated with durable responses but in limited number of patients. Accordingly, research efforts have been focused on examining the effects of combinations of targeted therapy and immunotherapy in several different histological subtypes of cancer. There has been accumulated evidence to suggest that targeted therapy can induce immune effects in the tumor cells, the host immune system, and the tumor microenvironment. Subsequently, clinical trials have been designed to examine the efficacy of combining immune checkpoint blockade or adoptive cell transfer with tyrosine kinase inhibitors, HER family blockade, anti-angiogenic agents, histone deacetylase inhibitors, and cancer stem cell inhibitors. To date, the combination of immunotherapy with targeted therapy has demonstrated potential as a cancer treatment strategy, but further optimizations are required and caution must be taken to avoid toxicity. The current review summarizes existing evidence and provides rationale supporting the use of combined targeted and immune-therapy approaches in patients with different types of cancer.