Combination anti–cytotoxic T lymphocyte antigen 4 (CTLA-4) and anti–programmed cell death protein 1 (PD-1) therapy promotes antitumor immunity and provides superior benefit to patients with advanced-stage melanoma compared with either therapy alone. T cell immunity requires recognition of antigens in the context of major histocompatibility complex (MHC) class I and class II proteins by CD8⁺ and CD4⁺ T cells, respectively. We examined MHC class I and class II protein expression on tumor cells from previously untreated melanoma patients and correlated the results with transcriptional and genomic analyses and with clinical response to anti–CTLA-4, anti–PD-1, or combination therapy. Most (>50% of cells) or complete loss of melanoma MHC class I membrane expression was observed in 78 of 181 cases (43%), was associated with transcriptional repression of HLA-A, HLA-B, HLA-C, and B2M, and predicted primary resistance to anti–CTLA-4, but not anti–PD-1, therapy. Melanoma MHC class II membrane expression on >1% cells was observed in 55 of 181 cases (30%), was associated with interferon-γ (IFN-γ) and IFN-γ–mediated gene signatures, and predicted response to anti–PD-1, but not anti–CTLA-4, therapy. We conclude that primary response to anti–CTLA-4 requires robust melanoma MHC class I expression. In contrast, primary response to anti–PD-1 is associated with preexisting IFN-γ–mediated immune activation that includes tumor-specific MHC class II expression and components of innate immunity when MHC class I is compromised. The benefits of combined checkpoint blockade may be attributable, in part, to distinct requirements for melanoma-specific antigen presentation to initiate antitumor immunity.