Pancreatic ductal adenocarcinoma (PDAC) is one of the most aggressive forms of cancer with a dismal prognosis. About a third of all patients with pancreatic cancer present with locally advanced inoperable disease and are currently designated to palliative systemic chemotherapy. Despite improved chemotherapeutic treatment by the introduction of FOLFIRINOX, median overall survival remains poor at approximately 14 months. Several needle-guided ablative therapies are investigated as treatment option for patients with locally advanced pancreatic cancer (LAPC). This review aims to give an overview of literature of the following needle-guided ablative techniques for the treatment of patients with LAPC: radiofrequency ablation (RFA), microwave ablation (MWA), cryoablation, and irreversible electroporation (IRE). The immunomodulatory effects of the ablative techniques in PDAC are also discussed. These effects in combination with immunotherapy may provide an opportunity to enhance clinical efficacy and endow local ablation with systemic tumor control. Especially less immunogenic tumors like PDAC may benefit from this new approach. Preclinical and clinical findings, possible mechanisms of action, and future research directions are addressed.