PRMT5 is expressed at high levels in many cancers, where it regulates diverse cellular pathways that contribute to oncogenesis. Here, we have defined a new role for PRMT5 in regulating and coordinating the interplay between the innate and adaptive immune response. This occurs, in part, through the influence of PRMT5 and E2F1 on RNA splicing and the presence of retained introns (RIs). We found that RIs have a propensity to form double-stranded RNAs that contribute to the innate response. Furthermore, many RIs contain non-canonical open-reading frames (ncORFs), which can be translated and then processed into small peptides that assemble with the MHC class I complex. Significantly, RI-derived peptides are highly immunogenic and, as a murine cancer vaccine, carrying a string of antigenic RI peptides, delayed tumour growth and enhanced survival. RIs are present in human tumour cells, and we identified T lymphocytes in human cancer patients, with antigen specificity for RI-derived peptides, that killed human tumour cells in vitro. Regulating intron retention thus offers a new therapeutic approach to enhance tumour immunogenicity.