Avian influenza A viruses (IAVs) naturally infect different avian species, and aquatic birds are their natural reservoir. Sporadically, avian IAVs can be transmitted to humans, and some, such as H5N1 and H7N9 viruses, cause severe disease in humans. Antigenically novel avian influenza viruses that infect and cause disease in humans pose a potential pandemic threat if they are able to spread efficiently from person to person. The immune response of the host is crucial in determining disease pathogenesis and is the basis for the development of control strategies. In this review, we examine the innate and adaptive immune responses to avian influenza viruses and their role in disease and recovery. Furthermore, we discuss the progress in developing vaccines against avian IAVs and summarize obstacles in designing universal and pandemic influenza vaccines.