Merkel cell carcinoma (MCC) is a rare but highly aggressive neuroendocrine skin cancer whose incidence has almost doubled in recent decades. Risk factors for MCC include age > 65 years, immunosuppression, sun exposure and infection by Merkel cell polyomavirus. MCC usually presents as rapidly growing, firm, red to violaceous nodule localized on the sun-exposed skin. Surgery followed by radiation therapy is considered to be the first-line treatment for primary or loco-regional MCC in order to prevent recurrences and lymph node metastasis, while chemotherapy has always been used to treat advanced forms. However, responses to chemotherapy are mostly of short duration, and the associated clinical benefit on overall survival is still unclear. The use of checkpoint inhibitors (CPIs) has shown good results in the treatment of advanced MCC and, consequently, CPIs are considered emerging immunotherapeutic options for these patients, although there are still no standardized treatments for patients with metastatic disease. Here we present a complete overview of the different possibilities for the treatment of MCC according to the stage of the disease, focusing on the emerging immunotherapies used for treating advanced MCC.