The small nucleolar RNA host genes (SNHGs) are a group of genes that can be transcript into long non-coding RNA SNHG (lncSNHG) and further processed into small nucleolar RNAs (snoRNAs). Although lncSNHGs and snoRNAs are well established to play pivotal roles in tumorigenesis, how lncSNHGs and snoRNAs regulate the immune cell behavior and function to mediate anti-tumor immunity remains further illustrated. Certain immune cell types carry out distinct roles to participate in each step of tumorigenesis. It is particularly important to understand how lncSNHGs and snoRNAs regulate the immune cell function to manipulate anti-tumor immunity. Here, we discuss the expression, mechanism of action, and potential clinical relevance of lncSNHGs and snoRNAs in regulating different types of immune cells that are closely related to anti-tumor immunity. By uncovering the changes and roles of lncSNHGs and snoRNAs in different immune cells, we aim to provide a better understanding of how the transcripts of SNHGs participate in tumorigenesis from an immune perspective.