Infections have imposed strong selection pressures throughout human evolution, making the study of natural selection's effects on immunity genes highly complementary to disease-focused research. This review discusses how ancient DNA studies, which have revolutionized evolutionary genetics, increase our understanding of the evolution of human immunity. These studies have shown that interbreeding between modern humans and Neanderthals or Denisovans has influenced present-day immune responses, particularly to viruses. Additionally, ancient genomics enables the tracking of how human immunity has evolved across cultural transitions, highlighting strong selection since the Bronze Age in Europe (<4,500 years) and potential genetic adaptations to epidemics raging during the Middle Ages and the European colonization of the Americas. Furthermore, ancient genomic studies suggest that the genetic risk for noninfectious immune disorders has gradually increased over millennia because alleles associated with increased risk for autoimmunity and inflammation once conferred resistance to infections. The challenge now is to extend these findings to diverse, non-European populations and to provide a more global understanding of the evolution of human immunity.