Rectal cancer remains a challenging disease to treat. Therapy for locally advanced rectal cancer (LARC), the most frequent presentation, has evolved to include a multimodal approach of radiation, chemotherapy, and surgery. While this approach improves local disease control, the distant recurrence rate is nearly 30% and treatment-related morbidity is substantial, thus underscoring the need for new therapeutic approaches with better efficacy and lower side effects. Immunotherapy could potentially fill this need, but its promise is not yet realized in rectal cancer. In this translational science review, we address what is known about how cytotoxic therapies shape rectal cancer immunity and potentially prime the tumor microenvironment for response to immune checkpoint inhibitors and other immunotherapies. We also address the role of current immunotherapies in colorectal cancer and highlight where novel immunotherapy approaches are currently being evaluated in LARC. Finally, we address important future directions in LARC immunotherapy including the need to define optimal therapeutic sequencing, predictive biomarkers, strategies to limit treatment-related side effects and the potential of gut microbiome manipulation to improve outcomes. In summary, this review provides a framework to guide future research and inform immunotherapy trial design so as to advance rectal cancer care.