Cells of the immune system utilize multiple proteases to regulate cell functions and orchestrate innate and adaptive immune responses. Dysregulated protease activities are implicated in many immune-related disorders; thus, protease inhibitors have been actively investigated for pharmaceutical development. Although historically considered challenging with concerns about toxicity, compounds that covalently modify the protease active site represent an important class of agents, emerging not only as chemical probes but also as approved drugs. Here, we provide an overview of technologies useful for the study of proteases with the focus on recent advances in chemoproteomic methods and screening platforms. By highlighting covalent inhibitors that have been designed to target immunomodulatory proteases, we identify opportunities for the development of small molecule immunomodulators.