Polyunsaturated fatty acids contribute to the suppression of immune system functions. For this reason, n-3 polyunsaturated fatty acids have been applied in the resolution of inflammatory disorders. Although the inhibition of several immune functions promotes beneficial effects on the human health, this state may lead to a significant reduction of immune protection against infectious microorganisms (viruses, bacteria, fungi and parasites). Nevertheless, less attention has been paid to the action of olive oil in immunonutrition. Olive oil, a main constituent of the Mediterranean diet, is capable of modulating several immune functions, but it does not reduce host immune resistance to infectious microorganisms. Based on these criteria, we corroborate that olive oil administration may exert beneficial effects on the human health and especially on immune system, because it contributes to the reduction of typical inflammatory activity observed in patients suffering from autoimmune disorders, but without exacerbating the susceptibility to pathogen agents. The administration of olive oil in lipid emulsions may exert beneficial effects on the health and particularly on the immune system of immunocompromised patients. Therefore, this fact acquires a crucial importance in clinical nutrition. This review contributes to clarify the interaction between the administration of diets containing olive oil and immune system, as well as to determine the effect promoted by this essential component of Mediterranean diet in the immunomodulation against an infectious agent.