Seborrheic dermatitis (SD) is a chronic inflammatory skin condition often involving the sebaceous-rich areas, characterized by erythematous scaly lesions. It is frequently observed in individuals with immune dysregulation, suggesting the interplay between the immune system and disease development. An altered immune environment leads to an exaggerated inflammatory response with the activation of innate immunity, involving the participation of mast cells, γδ T cells, and the NOD-LRR-pyrin-domain-containing protein 3 (NLRP3) inflammasome. This review aims to assess the complex relationship between Malassezia and the immune system in the pathogenesis of SD. We will explore how an impaired immune response predisposes the skin to Malassezia overgrowth and infection. We will examine the role of adaptive immunity, particularly T helper cells, in driving chronic inflammation in SD. All actors involved, whether part of innate or adaptive immunity, are responsible for the release of pro-inflammatory cytokines, which contribute to the progression of the disease. Therapeutic strategies aimed at the modulation of the immune response in SD have been tested in clinical trials evaluating the efficacy of immunomodulatory treatments in the management of SD. This review synthesizes insights from immunological studies and clinical trials to present an in-depth analysis of the immune mechanisms underpinning SD, thereby proposing targeted therapeutic strategies for its management.