Porcine epidemic diarrhea virus (PEDV), a swine enteropathogenic coronavirus (CoV), is the causative agent of porcine epidemic diarrhea (PED). PED causes lethal watery diarrhea in piglets, which has led to substantial economic losses in many countries and is a great threat to the global swine industry. Interferons (IFNs) are major cytokines involved in host innate immune defense, which induce the expression of a broad range of antiviral effectors that help host to control and antagonize viral infections. PEDV infection does not elicit a robust IFN response, and some of the mechanisms used by the virus to counteract the host innate immune response have been unraveled. PEDV evades the host innate immune response by two main strategies including: 1) encoding IFN antagonists to disrupt innate immune pathway, and 2) hiding its viral RNA to avoid the exposure of viral RNA to immune sensors. This review highlights the immune evasion mechanisms employed by PEDV, which provides insights for the better understanding of PEDV-host interactions and developing effective vaccines and antivirals against CoVs.