Coccidioidomycosis, otherwise known as Valley Fever, is caused by the dimorphic fungi Coccidioides immitis and C. posadasii. While most clinical cases present with self-limiting pulmonary infection, dissemination of Coccidioides spp. results in prolonged treatment and portends higher mortality rates. While the structure, genome, and niches for Coccidioides have provided some insight into the pathogenesis of disease, the underlying immunological mechanisms of clearance or inability to contain the infection in the lung are poorly understood. This review focuses on the known innate and adaptive immune responses to Coccidioides and highlights three important areas of uncertainty and potential approaches to address them. Closing these gaps in knowledge may enable new preventative and therapeutic strategies to be pursued.