According to the latest available data, cancer is the second leading cause of death, highlighting the need for novel cancer therapeutic approaches. In this context, immunotherapy is emerging as a reliable first-line treatment for many cancers, particularly metastatic melanoma. Indeed, cancer immunotherapy has attracted great interest following the recent clinical approval of antibodies targeting immune checkpoint molecules, such as PD-1, PD-L1, and CTLA-4, that release the brakes of the immune system, thus reviving a field otherwise poorly explored. Cancer immunotherapy mainly relies on the generation and stimulation of cytotoxic CD8 T lymphocytes (CTLs) within the tumor microenvironment (TME), priming T cells and establishing efficient and durable anti-tumor immunity. Therefore, there is a clear need to define and identify immunogenic T cell epitopes to use in therapeutic cancer vaccines. Naturally presented antigens in the human leucocyte antigen-1 (HLA-I) complex on the tumor surface are the main protagonists in evocating a specific anti-tumor CD8+ T cell response. However, the methodologies for their identification have been a major bottleneck for their reliable characterization. Consequently, the field of antigen discovery has yet to improve. The current review is intended to define what are today known as tumor antigens, with a main focus on CTL antigenic peptides. We also review the techniques developed and employed to date for antigen discovery, exploring both the direct elution of HLA-I peptides and the in silico prediction of epitopes. Finally, the last part of the review analyses the future challenges and direction of the antigen discovery field.