Initially believed to be a disease of deregulated cellular and genetic expression, cancer is now also considered a disease of the tumor microenvironment. Over the past two decades, significant and rapid progress has been made to understand the complexity of the tumor microenvironment and its contribution to shaping the response to various anti-cancer therapies, including immunotherapy. Nevertheless, it has become clear that the tumor microenvironment is one of the main hallmarks of cancer. Therefore, a major challenge is to identify key druggable factors and pathways in the tumor microenvironment that can be manipulated to improve the efficacy of current cancer therapies. Among the different tumor microenvironmental factors, this review will focus on hypoxia as a key process that evolved in the tumor microenvironment. We will briefly describe our current understanding of the molecular mechanisms by which hypoxia negatively affects tumor immunity and shapes the anti-tumor immune response. We believe that such understanding will provide insight into the therapeutic value of targeting hypoxia and assist in the design of innovative combination approaches to improve the efficacy of current cancer therapies, including immunotherapy.