Immunotherapy with checkpoint inhibitors, such as the programmed death-1 (PD-1) antibodies pembrolizumab and nivolumab, are effective in a variety of tumors, yet not all patients respond. Tumor microsatellite instability-high (MSI-H) has emerged as a biomarker of response to checkpoint blockade, leading to the tissue agnostic approval of pembrolizumab in MSI-H cancers. Here we describe a patient with MSI-H colorectal cancer that was treated with this immune checkpoint inhibitor and exhibited progression of disease. We examined this intrinsic resistance through genomic, transcriptional, and pathologic characterization of the patient's tumor and the associated immune microenvironment. The tumor had typical MSI-H molecular features, including a high neoantigen load. We also identified biallelic loss of the gene for β₂-microglobulin (B2M), whose product is critical for antigen presentation. Immune infiltration deconvolution analysis of bulk transcriptome data from this anti-PD-1–resistant tumor and hundreds of other colorectal cancer specimens revealed a high natural killer cell and M2 macrophage infiltration in the patient's cancer. This was confirmed by single-cell transcriptome analysis and multiplex immunofluorescence. Our study provides insight into resistance in MSI-H tumors and suggests immunotherapeutic strategies in additional genomic contexts of colorectal cancer.