Background Triple‐negative breast cancer (TNBC) is the most aggressive type of breast cancer. Immune checkpoint inhibitors (ICIs) have been widely used to treat various tumors and have changed the landscape of tumor management, but the data from real‐world studies of ICIs for TNBC treatment remain limited. The aim of this study was to evaluate the efficacy of ICIs in the treatment of patients with advanced TNBC in a real‐world setting and to explore possible correlates. Methods The clinical data of advanced TNBC patients who received ICI treatment in the Chinese People's Liberation Army (PLA) General Hospital were collected. Treatment responses, outcomes and adverse events (AEs) were assessed. Results Eighty‐one patients were included in the study. The confirmed objective response rate (ORR) was 32.1%, and the disease control rate (DCR) was 64.2%. The median progression‐free survival (PFS) was 4.2 months, and the median overall survival (OS) was 11.0 months. PFS and OS were longer in patients who achieved clinical benefit from ICIs and shorter in patients who received later‐line ICIs and higher levels of inflammation; specifically, patients with higher TILs had longer PFS. Overall AEs were tolerable. Conclusions ICIs are effective in the treatment of advanced TNBC, and the adverse reactions are tolerable. A panel of biomarkers including LDH, ALP, and bNLR were identified to predict the efficacies of ICIs in TNBC treatment.