Over the years, immune checkpoint inhibitors (CPIs) have become a powerful treatment strategy in the field of cancer immunotherapy. In the last decade, the number of FDA-approved CPIs has been increasing prominently, opening new horizons for the treatment of a wide range of tumor types. Pointedly, three immune checkpoint molecules have been under extensive research, which include cytotoxic T-lymphocyte-associated protein 4 (CTLA-4) and programmed cell death protein-1 (PD-1) and its ligand-1 (PD-L1). Despite remarkable success, not all patients respond positively to therapy, which highlights the complexity of the tumor microenvironment (TME) and immune system. This has led to the identification of molecular biomarkers to predict response and toxicity. In addition, there has been an emerging focus on developing new delivery and targeting approaches for better drug efficacy and potency. In this review, we highlight the mechanism of action of major CPIs, their clinical impact, variation in effectiveness, response prediction, updated clinical indications, current challenges and limitations, promising novel approaches, and future directions.