Immunotherapy has become the standard-of-care in many solid tumors. Despite the significant recent achievements in the diagnosis and treatment of cancer, several issues related to patients’ selection for immunotherapy remain unsolved. Multiple lines of evidence suggest that, in this setting, the vision of a single biomarker is somewhat naïve and imprecise, given that immunotherapy does not follow the rules that we have experienced in the past for targeted therapies. On the other hand, additional immune-related biomarkers that are reliable in real-life clinical practice remain to be identified. Recently, the immune-checkpoint blockade has been approved in the US irrespective of the tumor site of origin. Further histology-agnostic approvals, coupled with with tumor-specific companion diagnostics and guidelines, are expected in this field. In addition, immune-related biomarkers can also have a significant prognostic value. In this review, we provide an overview of the role of these biomarkers and their characterization in the management of lung cancer, melanoma, colorectal cancer, gastric cancer, head and neck cancer, renal cell carcinoma, urothelial cancers, and breast cancer.