Current therapies of renal cell carcinoma (RCC), a highly vascularised tumour, mostly rely on anti-angiogenic treatment options. These include tyrosine kinase inhibitors (TKIs) and anti-VEGF monoclonal antibodies. Although these strategies aim at restraining vascularisation to control tumour growth, the effects of such therapies are much wider, as affecting the vessel structure deeply modifies the microenvironment of the tumour mass. The aim of this review is to provide an overview of current knowledge on the global effects of anti-angiogenic treatment, mostly TKIs, on the shaping of the immune component of the RCC microenvironment. The data supporting the modification of immunity by anti-angiogenic therapies are collected to reveal the potential of angiogenesis modulation as a strategy for the adjuvant anti-cancer approach in immunotherapy.