Cytokine storm, a runaway overwhelming immune response, plays an important part in the pathogenesis of coronavirus. The virus hijacks the immune system, resulting in a loss of negative feedback on the immune regulation and an overproduction of inflammatory cytokines, which subsequently impairs the pulmonary diffusion function and leads to multi-organ dysfunction. A series of progresses have been achieved in studies targeting the coronavirus cytokine storm, such as granulocyte colony-stimulating factor, tocilizumab, camostat mesylate, and blood purification treatment, which may provide effective ways to alleviate the coronavirus disease 2019 (COVID-19) epidemic. Nevertheless, further clinical verifications of the above research findings are requested due to the unique pathology of COVID-19. This paper reviews the advances in cytokine storm and immunoregulatory therapy of coronavirus pneumonia.