Immunotherapy has changed the landscape of cancer treatment and has significantly improved the outcome of several cancer types including breast, lung, colorectal and prostate. Neoantigen recognition and immune checkpoint inhibitors are nowadays the milestones of different immunotherapeutic regimes; however, high cost, primary and acquired resistance and the high variability of responses make their extensive use difficult. The development of better predictive biomarkers that represent tumour diversity shows promise because there is a significant body of clinical data showing a spectrum of immunotherapeutic responses that might be related back to their specific characteristics. This article makes a conceptual and historical review to summarise the main advances in our understanding of the role of the immune system in cancer, while describing the methodological details that have been successfully implemented on cancer treatments and that may hold the key to improved therapeutic approaches.