Classic Hodgkin lymphoma (cHL) is a B-cell lymphoma in which tumour cells, the so-called Hodgkin Reed–Sternberg (HRS) cells, are admixed with non-malignant cell types that are a functional part of the disease. Immune cells, fibroblasts, specialised mesenchymal cells, and microvasculature together make up the tumour microenvironment and have functional interactions with tumour cells. HRS cells are surrounded by T and B cells admixed with plasma cells, macrophages, eosinophils, and mast cells. A cross-talk occurs between HRS cells and immune cells of the TME. This cross-talk is mediated either by a large network of cytokines and chemokines expressed by HRS cells or molecules produced by different cell types of the TME, i.e., CD30/CD30L, CD40/CD40L, OX40L/OX40, Il- 3/Il-3R, CCR5/CCL5, CD74 macrophage migration inhibitory factor/macrophages, and PD-L1/PD-1. The over-expression of CD30 and CD40, members of the TNF receptor family, is a hallmark of HRS cells. This review highlights the current development of newer therapeutic strategies as a means of immune checkpoint blockade and suggests that further research should explore innovative molecules aimed at targeting components of HL that are involved in cancer cell growth and/or immune escape. Hopefully, this will influence sensitivity or resistance to checkpoint inhibitor therapy in an individual patient.