Immunotherapy is a promising treatment strategy for cancer that has recently shown unprecedented survival benefits in selected patients. A number of immunomodulatory agents that target immune system checkpoints such as the cytotoxic T-lymphocyte antigen 4 (CTLA-4), the programmed death-1 (PD-1) or its ligand (PD-L1), have received regulatory approval for the treatment of multiple cancers including malignant melanoma, non-small cell lung cancer, renal cell carcinoma, classical Hodgkin lymphoma, and recurrent or metastatic head and neck squamous cell carcinoma. Nevertheless, a substantial proportion of patients treated with checkpoint inhibitors have little or no benefit while these treatments are costly and might have associated toxicities. Hence, the establishment of valid predictors of treatment response has become a priority. This review summarizes the current evidence around biomarkers of response to PD-1/PD-L1 inhibition, considering features related to the tumor and to the host immune system.