Sarcomas are one of the most difficult type of cancer to manage and treat because of their extremely heterogeneous molecular and morphological features. Despite the progress made over the years in the establishment of standard protocols for high and low grading/staging sarcoma patients, mostly with chemotherapy and/or radiotherapy, 50% of treated patients experience relapse episodes. Because of this, in the last 20 years, new therapeutic approaches for sarcoma treatment have been evaluated in preclinical and clinical studies. Among them, antibody-based therapies have been the most studied. Immunoconjugates consist of a carrier portion, frequently represented by an antibody, linked to a toxic moiety, i.e., a drug, toxin, or radionuclide. While the efficacy of immunoconjugates is well demonstrated in the therapy of hematological tumors and more recently also of epithelial ones, their potential as therapeutic agents against sarcomas is still not completely explored. In this paper, we summarize the results obtained with immunoconjugates targeting sarcoma surface antigens, considering both preclinical and clinical studies. To date, the encouraging results obtained in preclinical studies allowed nine immunoconjugates to enter clinical trials, demonstrating the validity of immunotherapy as a promising pharmacological tool also for sarcoma therapy.