Immunotherapy with checkpoint blockers (ICBs), aimed at unleashing the immune response toward tumor cells, has shown a great improvement in overall patient survival compared to standard therapy, but only in a subset of patients. While a number of recent studies have significantly improved our understanding of mechanisms playing an important role in the tumor microenvironment (TME), we still have an incomplete view of how the TME works as a whole. This hampers our ability to effectively predict the large heterogeneity of patients' response to ICBs. Systems approaches could overcome this limitation by adopting a holistic perspective to analyze the complexity of tumors. In this Mini Review, we focus on how an integrative view of the increasingly available multi-omics experimental data and computational approaches enables the definition of new systems-based predictive biomarkers. In particular, we will focus on three facets of the TME toward the definition of new systems biomarkers. First, we will review how different types of immune cells influence the efficacy of ICBs, not only in terms of their quantification, but also considering their localization and functional state. Second, we will focus on how different cells in the TME interact, analyzing how inter- and intra-cellular networks play an important role in shaping the immune response and are responsible for resistance to immunotherapy. Finally, we will describe the potential of looking at these networks as dynamic systems and how mathematical models can be used to study the rewiring of the complex interactions taking place in the TME.