Vasculogenic mimicry (VM) represents a novel form of angiogenesis discovered in numerous malignant tumours in recent years. Unlike traditional angiogenesis, VM facilitates tumour blood supply independently of endothelial cells by enabling tumour cells to form functional vascular networks. This phenomenon, where tumour cells replace endothelial cells to form tubular structures, plays a pivotal role in tumour growth and metastasis. Tumour progression is influenced by a variety of factors, including immune components. The immune system serves as a critical defence mechanism by identifying and eliminating abnormal entities, such as tumour cells. This inevitably reminds us of the intricate connection between the immune system and VM. Indeed, in recent years, some studies have shown that immune responses and related immune cells play different regulatory roles in the formation of VM. Therefore, this review provides a comprehensive discussion on the mechanisms underlying VM formation, its interplay with the immune system, and the potential of leveraging immunotherapy to target VM.