Immunotherapy is an effective therapeutic option for several cancers. In the last years, the introduction of checkpoint inhibitors (ICIs) has shifted the therapeutic landscape in oncology and improved patient prognosis in a variety of neoplastic diseases. However, to date, the selection of the best patients eligible for these therapies, as well as the response assessment is still challenging. Patients are mainly stratified using an immunohistochemical analysis of the expression of antigens on biopsy specimens, such as PD-L1 and PD-1, on tumor cells, on peritumoral immune cells and/or in the tumor microenvironment (TME). Recently, the use and development of imaging biomarkers able to assess in-vivo cancer-related processes are becoming more important. Today, positron emission tomography (PET) with 2-deoxy-2-[18F]fluoro-D-glucose ([18F]FDG) is used routinely to evaluate tumor metabolism, and also to predict and monitor response to immunotherapy. Although highly sensitive, FDG-PET in general is rather unspecific. Novel radiopharmaceuticals (immuno-PET radiotracers), able to identify specific immune system targets, are under investigation in pre-clinical and clinical settings to better highlight all the mechanisms involved in immunotherapy. In this review, we will provide an overview of the main new immuno-PET radiotracers in development. We will also review the main players (immune cells, tumor cells and molecular targets) involved in immunotherapy. Furthermore, we report current applications and the evidence of using [18F]FDG PET in immunotherapy, including the use of artificial intelligence (AI).