In the era of antiretroviral therapy (ART), mortality among people living with the human immunodeficiency virus (HIV) has significantly decreased, yet the population of people living with HIV remains substantial. Among people living with HIV (PLWH), HIV-associated lymphoma (HAL) has surpassed Kaposi’s sarcoma to become the most common tumor in this population in developed countries. However, there remains a dearth of comprehensive and systematic understanding regarding HIV-associated lymphomas. This review aims to shed light on the changes in the immune system among PLWH and the characteristics of the immune microenvironment in HIV-associated lymphoma, with a specific focus on the immune system’s role in these individuals. Additionally, it seeks to explore recent advancements in immunotherapy for the treatment of HIV-associated lymphoma, intending to enhance strategies for immunotherapy in this specific population.