HLA-G is an HLA-class Ib molecule that is involved in the establishment of tolerance at the maternal/fetal interface during pregnancy. The expression of HLA-G is highly restricted in adults, but the de novo expression of this molecule may be observed in different hematological and solid tumors and is related to cancer progression. Indeed, tumor cells expressing high levels of HLA-G are able to suppress anti-tumor responses, thus escaping from the control of the immune system. HLA-G has been proposed as an immune checkpoint (IC) molecule due to its crucial role in tumor progression, immune escape, and metastatic spread. We here review data available in the literature in which the interaction between HLA-G and other IC molecules is reported, in particular PD-1, CTLA-4, and TIM-3, but also IDO and TIGIT. Clinical trials using monoclonal antibodies against HLA-G and other IC are currently ongoing with cancer patients where antibodies and inhibitors of PD-1 and CTLA-4 showed encouraging results. With this background, we may envisage that combined therapies using antibodies targeting HLA-G and another IC may be successful for clinical purposes. Indeed, such immunotherapeutic protocols may achieve a better rescue of effective anti-tumor immune response, thus improving the clinical outcome of patients.