Immune checkpoint inhibitors are agents that act by inhibiting the mechanisms of immune escape displayed by various cancers. The success of immune checkpoint inhibitors against several tumors has promoted a new treatment strategy in clinical oncology, and this has encouraged physicians to increase the number of patients who receive the immune checkpoint therapy. In the present article, we review the main concepts regarding immune checkpoint mechanisms and how cancer disrupts them to undergo immune escape. In addition, we describe the most essential concepts related to immune checkpoint inhibitors. We critically review the literature on preclinical and clinical studies of the immune checkpoint inhibitors as a treatment option for thyroid cancer, ovarian carcinoma, pancreatic adenocarcinoma, adrenocortical carcinoma and neuroendocrine tumors. We present the challenges and the opportunities of using immune checkpoint inhibitors against these endocrine malignancies, highlighting the breakthroughs and pitfalls that have recently emerged.