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Simple Summary: Therapeutic options for GEP-NETs are very limited, and at the same time, the incidence of these cancers is increasing. The evidence has shown that multiple neoplasms can be successfully treated with immune checkpoint inhibitors such as PD-1/PD-L1 inhibitors. Crucial to determining a patient's response to immunotherapy is access to the tumor microenvironment. Currently, there is no consistency regarding the future role of TME and immunotherapy in GEP-NETs. Thus, this review points to the solution in selecting a concrete patient group that, based on tumor features can benefit from immunotherapy. Neuroendocrine neoplasms (NENs) are a heterogenous and recurrent group of malignancies originating from neuroendocrine secretory cells diffused on all parts of the human body. Gastro-entero-pancreatic neuroendocrine tumors (GEP-NETs) account for most NENs. Considering the abundance of possible origins, locations, and tumor specifications, there is still no consensus about optimal treatment options for these neoplasms. In light of the escalating immunotherapeutic approaches, it is crucial to define indications for such therapy in GEP-NETs. Bearing in mind the significance of pathophysiological mechanisms and tumor microenvironment (TME) impact on carcinogenesis, defining TME structure and correlation with the immune system in GEP-NETs appears essential. This paper aimed to assess the characterization of the tumor immune microenvironment for a better understanding of the possible therapeutic options in GEP-NETS. The authors performed a systematic review, extracting papers from the PubMed, Web of Science, and Scopus databases according to the Preferred Reporting Items for Systematic Reviews and Meta-Analyses (PRISMA) guidelines. Among 3800 articles identified through database searching, 292 were assessed for eligibility. Ultimately, 28 articles were included in the qualitative synthesis. This paper sums up the research on the immune cell infiltrates, immune checkpoint expression, cytokine profile, neoangiogenesis, and microbiome in the TME of GEP-NETs. [ABSTRACT FROM AUTHOR]