In the wide field of nutraceuticals, the effects of mushrooms on immunity, cancer and including autoimmunity have been proposed for centuries but in recent years a growing interest has led scientists to elucidate which specific compounds have bioactive properties and through which mechanisms. Glucans and specific proteins are responsible for most of the biological effects of mushrooms, particularly in terms of immunomodulatory and anti-tumor results. Proteins with bioactive effects include lectins, fungal immunomodulatory proteins (FIPs), ribosome inactivating proteins (RIPs), ribonucleases, laccases, among others. At the present status of knowledge, numerous studies have been performed on cell lines and murine models while only a few clinical trials have been conducted. As in most cases of dietary components, the multitude of variables implicated in the final effect and an inadequate standardization are expected to affect the observed differences, thus making the available evidence insufficient to justify the treatment of human diseases with mushrooms extracts. We will herein provide a comprehensive review and critically discussion the biochemical changes induced by different mushroom compounds as observed in in vitro studies, particularly on macrophages, dendritic cells, T cells, and NK cells, compared to in vivo and human studies. Additional effects are represented by lipids which constitute a minor part of mushrooms but may have a role in reducing serum cholesterol levels or phenols acting as antioxidant and reducing agents. Human studies provide a minority of available data, as well illustrated by a placebo-controlled study of athletes treated with β-glucan from Pleurotus ostreatus. Variables influencing study outcomes include different mushrooms strains, growing conditions, developmental stage, part of mushroom used, extraction method, and storage conditions. We foresee that future rigorous research will be needed to determine the potential of mushroom compounds for human health to reproduce the effects of some compounds such as lentinan which a metaanalysis demonstrated to increase the efficacy of chemotherapy in the treatment of lung cancer and in the improvement of the patients quality of life.