Inflammation is nowadays well known to be involved in the development of several chronic diseases such as arteriosclerosis, obesity, diabetes, neurodegenerative diseases, and cancer. Treatment for chronic inflammatory disorders has not been solved yet, and there is an urgent need to find new and safe anti-inflammatory preventive and therapeutic compounds. Medicinal mushrooms have been traditionally used in Asian countries to manage and treat different diseases. On the other hand, edible mushrooms have recently attracted much interest as a functional food because of their antimutagenic, anti-tumoral, anti-viral, anti-thrombotic, hypocholesterolemic, hypolipidemic, and anti-oxidant properties. Among all of these healthy properties, special attention was paid to the immunomodulatory activity of some fungal compounds such as polysaccharides, mainly β-glucans. Recently, some studies have demonstrated that both whole mushrooms and extracts may show anti-inflammatory activity due to the presence of bioactive compounds. This review summarizes the most recent studies investigating immunomodulatory and especially, anti-inflammatory properties of both medicinal and edible mushrooms, the compounds putatively implicated and the mechanisms that were already established.