The effects exerted by polyunsaturated fatty acids (PUFA) on immune system functions have been investigated in recent years. These studies have reported the important role that n-3 PUFA play in the diminution of incidence and severity of inflammatory disorders. Nevertheless, less attention has been paid to the action of monounsaturated fatty acids (MUFA) upon the immune system. The administration of a diet containing a high amount of olive oil in experimental animals produces a suppression of lymphocyte proliferation, an inhibition of cytokine production and a reduction in natural killer (NK) cell activity. Despite these alterations in immune functions, it has been reported that olive oil-rich diets are not as immunosuppressive as fish oil diets. An important aspect in immunonutrition is focused on the relationship between fats, the immune system and host resistance to infection, particularly when these nutrients are supplied to patients at risk of sepsis. Different studies have determined that olive oil-rich diets do not impair the host resistance to infection. Therefore, olive oil constitutes a suitable fat that may be applied in clinical nutrition and administered to critically ill patients. In the present review, we summarize the current knowledge on olive oil and immune system functions, the biological consequences derived from the administration of diets containing olive oil and the impact of olive oil on immune defence.