Over the past decades, thermoablative techniques for the therapy of localized tumors have gained importance in the treatment of patients not eligible for surgical resection. Anecdotal reports have described spontaneous distant tumor regression after thermal ablation, indicating a possible involvement of the immune system, hence an induction of antitumor immunity after thermoinduced therapy. In recent years, a growing body of evidence for modulation of both adaptive and innate immunity, as well as for the induction of danger signals through thermoablation, has emerged. Induced immune responses, however, are mostly weak and not sufficient for the complete eradication of established tumors or durable prevention of disease progression, and combination therapies with immunomodulating drugs are being evaluated with promising results. This article aims to summarize published findings on immune modulation through radiofrequency ablation, cryoablation, microwave ablation therapy, high-intensity focused ultrasound, and laser-induced thermotherapy.