Among the most promising therapeutic modalities for cancer treatment is the blockade of immune checkpoint pathways, which are frequently co-opted by tumors as a major mechanism of immune escape. CTLA-4 and PD-1 are the representative examples, and their blockade by therapeutic antibodies leads to enhanced anti-tumor immunity with durable clinical responses, but only in a minority of patients. This has highlighted the need to identify and target additional immune checkpoints that can be exploited to further enhance immune responses to refractory cancers. These emerging targets include natural killer (NK) cell-directed checkpoint receptors (KIR and CD94/NKG2A) as well as the NK- and T cell-expressed checkpoints TIM-3, TIGIT, CD96, and LAG-3. Interestingly, the potentiation of anti-tumor immunity by checkpoint blockade relies not only on T cells but also on other components of the innate immune system, including NK cells. NK cells are innate lymphoid cells that efficiently kill tumor cells without MHC specificity, which is complementary to the MHC-restricted tumor lysis mediated by cytotoxic T cells. However, the role of these immune checkpoints in modulating the function of NK cells remains unclear and somewhat controversial. Unraveling the mechanisms by which these immune checkpoints function in NK cells and other immune cells will pave the way to developing new therapeutic strategies to optimize anti-tumor immunity while limiting cancer immune escape. Here, we focus on recent findings regarding the roles of immune checkpoints in regulating NK cell function and their potential application in cancer immunotherapy.