Immune checkpoint inhibitors represent one of the most significant recent advances in clinical oncology, since they dramatically improved the prognosis of deadly cancers such as melanomas and lung cancer. Treatment with these drugs may be complicated by the occurrence of clinically-relevant adverse drug reactions, most of which are immune-mediated, such as pneumonitis, colitis, endocrinopathies, nephritis, Stevens Johnson syndrome and toxic epidermal necrolysis. Drug-induced steatosis and steatohepatitis are not included among the typical forms of cancer immunotherapy-induced liver toxicity, which, instead, usually occurs as a panlobular hepatitis with prominent lymphocytic infiltrates. Nonetheless, non-alcoholic fatty liver disease is a risk factor for immunotherapy-induced hepatitis, and steatosis and steatohepatitis are frequently observed in this condition. In the present review we discuss how these pathology findings could be explained in the context of current models suggesting immune-mediated pathogenesis for steatohepatitis. We also review evidence suggesting that in patients with hepatocellular carcinoma, the presence of steatosis or steatohepatitis could predict a poor therapeutic response to these agents. How these findings could fit with immune-mediated mechanisms of these liver diseases will also be discussed.