Persistent viral infections are often associated with serious diseases, primarily by altering functions of the host immune system. The hallmark of Kaposi's sarcoma-associated herpesvirus (KSHV) infection is the establishment of a life-long persistent infection, which leads to several clinical, epidemiological and infectious diseases, such as Kaposi's sarcoma, a plasmablastic variant of multicentric Castleman's disease, and primary effusion lymphoma. To sustain an efficient life-long persistency, KSHV dedicates a large portion of its genome to encoding immunomodulatory proteins that antagonize the immune system of its host. In this article, we highlight the strategies KSHV uses to evade, escape and survive its battle against the host's immune system.