On 22 March 2014, Immobile scored his first Serie A hat-trick, in a 3–1 win against Livorno. Three days later, he scored a spectacular volley with his left foot against Roma, temporarily bringing the Granata level at the Stadio Olimpico. On 6 April, he scored the winning goal against Catania in a 2–1 victory.
On 2 June 2014 Bundesliga club Borussia Dortmund announced the signing of Immobile, despite the co-ownership agreement between Torino and Juventus not being resolved. Urbano Cairo, the president of Torino, accused Juventus and Dortmund of violating FIFA regulation regarding transfer on 10 May 2014, which FIGC also states that such transfers must have mutual consent of the co-owners. Cairo also wanted to keep Immobile for at least a season for sports and for profit. On 18 June 2014, Juventus sold the remaining 50% registration rights of Immobile to Torino for €8.035 million. Torino later revealed in its financial filing, that the transfer fee to the German side was €17.955 million. On 13 August 2014, Immobile made his official debut for Dortmund as a striker in the starting line up for the 2014 DFL-Supercup against Bayern Munich. The match ended in Borussia lifting the cup by the score of 2–0.
Immobile made his Bundesliga debut on 23 August in the opening match of Dortmund's 2014–15 Bundesliga campaign which saw them lose 2–0 to Bayer Leverkusen at home. On 16 September 2014, Immobile scored his first goal for the club, opening a 2–0 home win over Arsenal in the group stages of the Champions League. He scored four goals in six Champions League matches, in a 3–0 away win over Anderlecht, in a 4–1 home win over Galatasaray and in a 1–1 home draw vs Anderlecht, with Borussia qualifying as first from the group. On 17 December 2014, Immobile assisted the first goal and scored the second on a 2–2 home draw with Wolfsburg.
On 2 March 2014, he received his first call-up to the senior national team by Cesare Prandelli, for a friendly match against Spain three days later. He made his debut as a substitute for Alessio Cerci after 69 minutes as Spain eventually won 1–0.
On 13 May 2014, Immobile was named in Italy's provisional 30-man squad for the 2014 FIFA World Cup, and on 1 June he was named in the final 23-man squad. On 8 June, he scored a hat-trick in Italy's final World Cup warm-up match, a 5–3 unofficial win over Brazilian club side Fluminense. Immobile made his competitive debut in Italy's opening 2–1 win over England in Manaus on 14 June, playing the last 17 minutes in place of Mario Balotelli who scored the Italian winner. He scored his first official international goal in the third minute of a 2–0 friendly victory against the Netherlands on 4 September 2014.