Due to the absence of acquired immunity, insects primarily rely on their innate immune system to resist pathogenic microorganisms and parasitoids in natural habitats. This innate immune system can be classified into cellular immunity and humoral immunity. Cellular immunity is mediated by hemocytes, which perform phagocytosis, aggregation, and encapsulation to fight against invaders, whereas the humoral immunity primarily activates the immune signaling pathways and induces the generation of immune effectors. Existing studies have revealed that the hemipteran aphids lack some crucial immune genes compared to other insect species, indicating the different immune mechanisms in aphids. The current review summarizes the adverse impacts of pathogenic microorganisms and parasitoids on aphids, introduces the cellular and humoral immune systems in insects, and analyzes the differences between aphids and other insect species. Furthermore, our review also discussed the existing prospects and challenges in aphid immunity research, and proposed the potential application of immune genes in green pest management.