Advances in single-cell RNA sequencing (scRNA-seq) have allowed for comprehensive analysis of the immune system. In this Review, we briefly describe the available scRNA-seq technologies together with their corresponding strengths and weaknesses. We discuss in depth how scRNA-seq can be used to deconvolve immune system heterogeneity by identifying novel distinct immune cell subsets in health and disease, characterizing stochastic heterogeneity within a cell population and building developmental 'trajectories' for immune cells. Finally, we discuss future directions of the field and present integrated approaches to complement molecular information from a single cell with studies of the environment, epigenetic state and cell lineage.