In the setting of chronic antigen exposure in the tumor microenvironment (TME), cytotoxic CD8+ T cells (CTLs) lose their immune surveillance capabilities and ability to clear tumor cells as a result of their differentiation into terminally exhausted CD8+ T cells. Immune checkpoint blockade (ICB) therapies reinvigorate exhausted CD8+ T cells by targeting specific inhibitory receptors, thus promoting their cytolytic activity towards tumor cells. Despite exciting results with ICB therapies, many patients with solid tumors still fail to respond to such therapies and patients who initially respond can develop resistance. Recently, through new sequencing technologies such as the assay for transposase-accessible chromatin with sequencing (ATAC-seq), epigenetics has been appreciated as a contributing factor that enforces T cell differentiation toward exhaustion in the TME. Importantly, specific epigenetic alterations and epigenetic factors have been found to control CD8+ T cell exhaustion phenotypes. In this review, we will explain the background of T cell differentiation and various exhaustion states and discuss how epigenetics play an important role in these processes. Then we will outline specific epigenetic changes and certain epigenetic and transcription factors that are known to contribute to CD8+ T cell exhaustion. We will also discuss the most recent methodologies that are used to study and discover such epigenetic modulations. Finally, we will explain how epigenetic reprogramming is a promising approach that might facilitate the development of novel exhausted T cell-targeting immunotherapies.