Cancer immunotherapy has shifted the paradigm in cancer therapy by revitalizing immune responses against tumor cells. Specifically, in primary tumors cancer cells evolve in an immunosuppressive microenvironment, which protects them from immune attack. However, during tumor progression, some cancer cells leave the protective tumor mass, disseminating and seeding secondary organs. These initial disseminated tumor cells (DTCs) should potentially be susceptible to recognition by the immune system in the new host tissues. Although Natural Killer or T cells eliminate some of these DTCs, a fraction escape anti-tumor immunity and survive, thus giving rise to metastatic colonization. How DTCs interact with immune cells and the underpinnings that regulate imperfect immune responses during tumor dissemination remain poorly understood. Uncovering such mechanisms of immune evasion may contribute to the development of immunotherapy specifically targeting DTCs. Here we review current knowledge about systemic and site-specific immune-cancer crosstalk in the early steps of metastasis formation. Moreover, we highlight how conventional cancer therapies can shape the pre-metastatic niche enabling immune escape of newly arrived DTCs.