Tumors of the central nervous system (CNS) are the main cause of cancer-related death in children. While improvements in survival rates for various childhood cancers have been obtained over the last decades, little progress has been made for pediatric brain tumors. In addition, current conventional treatment gives rise to severe long term toxicity, which underpins the burning need for the development of novel therapeutic modalities. Immunotherapy was shown to be successful in both adult solid tumors and pediatric hemato-oncology, and may be an option for pediatric CNS malignancies. However, pediatric brain tumors have a strong immunosuppressive microenvironment, which is considered a major hurdle for effective immunotherapy. The low mutational burden of these tumors may compromise immunotherapy for this patient group even further. The possibility to directly apply the current immune modulating therapies directly into the tumor, however, opens new options for immunotherapy in this population. This review covers immunotherapeutic approaches including immune checkpoint inhibition, chimeric antigen receptor T (CAR-T) cell therapy, therapeutic cancer vaccines, and oncolytic virotherapy. We review their effect on the immunosuppressive tumor microenvironment, summarize current trials, and discuss future directions. We conclude that immunotherapy holds promise for children with CNS malignancies, especially when combined with different (immune) therapeutic strategies.