The outbreak of coronavirus disease 2019 (COVID-19) has not only affected human health but also diverted the focus of research and derailed the world economy over the past year. Recently, vaccination against COVID-19 has begun, but further studies on effective therapeutic agents are still needed. The severity of COVID-19 is attributable to several factors such as the dysfunctional host immune response manifested by uncontrolled viral replication, type I interferon suppression, and release of impaired cytokines by the infected resident and recruited cells. Due to the evolving pathophysiology and direct involvement of the host immune system in COVID-19, the use of immune-modulating drugs is still challenging. For the use of immune-modulating drugs in severe COVID-19, it is important to balance the fight between the aggravated immune system and suppression of immune defense against the virus that causes secondary infection. In addition, the interplaying events that occur during virus–host interactions, such as activation of the host immune system, immune evasion mechanism of the virus, and manifestation of different stages of COVID-19, are disjunctive and require thorough streamlining. This review provides an update on the immunotherapeutic interventions implemented to combat COVID-19 along with the understanding of molecular aspects of the immune evasion of severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2), which may provide opportunities to develop more effective and promising therapeutics.