Glioma is the most common primary brain cancer, and half of patients present a diagnosis of glioblastoma (GBM), its most aggressive and lethal form. Conventional therapies, including surgery, radiotherapy, and chemotherapy, have not resulted in major ameliorations in GBM survival outcome, which remains extremely poor. Recent immunotherapy improvements for other tumors, coupled with growing knowledge of the complex interactions between malignant glioma cells and the immune system, led to an exponential increase in glioma immunotherapy research. However, immunotherapeutic strategies in GBM have not yet reached their full potential, mainly due to the limited understanding of the strong immunosuppressive microenvironment (TME) characterizing this tumor. Glioma-associated macrophages and microglia (GAMs) are key drivers of the local immunosuppression promoting tumor progression and its resistance to immunomodulating therapeutic strategies. Together with other myeloid cells, such as dendritic cells and neutrophils, GAMs actively shape glioma TME, modulate anti-tumoral immune response and support angiogenesis, tumor cell invasion and proliferation. In this review, we discuss the role of myeloid cells in the complex TME of glioma and the available clinical data on therapeutic strategies focusing on approaches that affect myeloid cells activity in GBM.