Diffuse midline glioma (DMG) is an incurable malignancy with the highest mortality rate among pediatric brain tumors. While radiotherapy and chemotherapy are the most common treatments, these modalities have limited promise. Due to their diffuse nature in critical areas of the brain, the prognosis of DMG remains dismal. DMGs are characterized by unique phenotypic heterogeneity and histological features. Mutations of H3K27M, TP53, and ACVR1 drive DMG tumorigenesis. Histological artifacts include pseudopalisading necrosis and vascular endothelial proliferation. Mouse models that recapitulate human DMG have been used to study key driver mutations and the tumor microenvironment. DMG consists of a largely immunologically cold tumor microenvironment that lacks immune cell infiltration, immunosuppressive factors, and immune surveillance. While tumor-associated macrophages are the most abundant immune cell population, there is reduced T lymphocyte infiltration. Immunotherapies can stimulate the immune system to find, attack, and eliminate cancer cells. However, it is critical to understand the immune microenvironment of DMG before designing immunotherapies since differences in the microenvironment influence treatment efficacy. To this end, our review aims to overview the immune microenvironment of DMG, discuss emerging insights about the immune landscape that drives disease pathophysiology, and present recent findings and new opportunities for therapeutic discovery.