Hedgehog–GLI (HH) signaling plays an essential role in embryogenesis and tissue homeostasis. Aberrant activation of the pathway through mutations or other mechanisms is involved in the development and progression of numerous types of cancer, including basal cell carcinoma, medulloblastoma, melanoma, breast, prostate, hepatocellular and pancreatic carcinomas. Activation of HH signaling sustains proliferation, suppresses cell death signals, enhances invasion and metastasis, deregulates cellular metabolism and promotes angiogenesis and tumor inflammation. Targeted inhibition of the HH pathway has therefore emerged as an attractive therapeutic strategy for the treatment of a wide range of cancers. Currently, the Smoothened (SMO) receptor and the downstream GLI transcriptional factors have been investigated for the development of targeted drugs. Recent studies have revealed that the HH signaling is also involved in tumor immune evasion and poor responses to cancer immunotherapy. Here we focus on the effects of HH signaling on the major cellular components of the adaptive and innate immune systems, and we present recent discoveries elucidating how the immunosuppressive function of the HH pathway is engaged by cancer cells to prevent immune surveillance. In addition, we discuss the future prospect of therapeutic options combining the HH pathway and immune checkpoint inhibitors.