Major histocompatibility class I (MHC-I) proteins mediate immunosurveillance against pathogens and cancers by presenting antigenic or mutated peptides to antigen receptors of CD8+ T cells and by engaging receptors of natural killer (NK) cells. In humans, MHC-I molecules are highly polymorphic. MHC-I variations permit the display of thousands of distinct peptides at the cell surface. Recent mass spectrometric studies have revealed unique and shared characteristics of the peptidomes of individual MHC-I variants. The cell surface expression of MHC-I–peptide complexes requires the functions of many intracellular assembly factors, including the transporter associated with antigen presentation (TAP), tapasin, calreticulin, ERp57, TAP-binding protein related (TAPBPR), endoplasmic reticulum aminopeptidases (ERAPs), and the proteasomes. Recent studies provide important insights into the structural features of these factors that govern MHC-I assembly as well as the mechanisms underlying peptide exchange. Conformational sensing of MHC-I molecules mediates the quality control of intracellular MHC-I assembly and contributes to immune recognition by CD8 at the cell surface. Recent studies also show that several MHC-I variants can follow unconventional assembly routes to the cell surface, conferring selective immune advantages that can be exploited for immunotherapy.