Immunotherapy has revolutionized therapy in both solid and liquid malignancies. The ability to cure acute myeloid leukemia (AML) and myelodysplastic syndromes (MDS) with an allogeneic hematopoietic stem cell transplant (HSCT) is proof of concept for the application of immunotherapy in AML and MDS. However, outside of HSCT, only the anti-CD33 antibody drug conjugate gemtuzumab ozogamicin is currently approved as an antibody-targeted therapy for AML. Several avenues of immunotherapeutic drugs are currently in different stages of clinical development. Here, we review recent advances in antibody-based therapy, immune checkpoint inhibitors, vaccines and adoptive cell-based therapy for patients with AML and MDS. First, we discuss different antibody constructs. Immune checkpoint inhibitors targeting cytotoxic T-lymphocyte-associated protein 4 (CTLA-4), programmed cell death protein-1 (PD-1) and CD47 as well as peptide, dendritic cell and dendritic/AML cell-based vaccines are reviewed next. Lastly, adoptive cell-based therapy including chimeric antigen receptor (CAR)-T cell and NK cell therapy is discussed.