The tumor microenvironment (TME) is a critical regulator of tumor growth, progression, and metastasis. Since immune cells represent a large fraction of the TME, they play a key role in mediating pro- and anti-tumor immune responses. Immune escape, which suppresses anti-tumor immunity, enables tumor cells to maintain their proliferation and growth. Numerous mechanisms, which have been intensively studied in recent years, are involved in this process, and based on these findings, novel immunotherapies have been successfully developed. Here, we review the composition of the TME and the mechanisms by which immune evasive processes are regulated. In detail, we describe membrane-bound and soluble factors, their regulation, and their impact on immune cell activation in the TME. Furthermore, we give an overview of the tumor/antigen presentation and how it is influenced under malignant conditions. Finally, we summarize novel TME-targeting agents, which are already in clinical trials for different tumor entities.