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Simple Summary: Immune checkpoint inhibitors (ICIs) constitute a paradigm shift in cancer therapy, and it has greatly expanded our knowledge of anticancer immunity and has introduced breakthroughs in cancer therapy. However, despite the promising results in the use of immunotherapy in some cancers, numerous patients do not respond to ICIs without the existence of a clear predictive biomarker. This review provides an overview of recent advances in cellular and molecular factors within the tumor microenvironment (TME) to identify possible mechanisms of immunotherapy resistance, as well as to develop novel combination strategies for cancer immunotherapy. The in-depth exploration of complexity within the TME allows for the improvement of therapeutic efficacy and highlights its contribution to cancer immunotherapy. Immune checkpoints play critical roles in the regulation of T-cell effector function, and the effectiveness of their inhibitors in cancer therapy has been established. Immune checkpoint inhibitors (ICIs) constitute a paradigm shift in cancer therapy in general and cancer immunotherapy in particular. Immunotherapy has been indicated to reinvigorate antitumor T-cell activity and dynamically modulate anticancer immune responses. However, despite the promising results in the use of immunotherapy in some cancers, numerous patients do not respond to ICIs without the existence of a clear predictive biomarker. Overall, immunotherapy involves a certain degree of uncertainty and complexity. Research on the exploration of cellular and molecular factors within the tumor microenvironment (TME) aims to identify possible mechanisms of immunotherapy resistance, as well as to develop novel combination strategies involving the specific targeting of the TME for cancer immunotherapy. The combination of this approach with other types of treatment, including immune checkpoint blockade therapy involving multiple agents, most of the responses and effects in cancer therapy could be significantly enhanced, but the appropriate combinations have yet to be established. Moreover, the in-depth exploration of complexity within the TME allows for the exploration of pathways of immune dysfunction. It may also aid in the identification of new therapeutic targets. This paper reviews recent advances in the improvement of therapeutic efficacy on the immune context of the TME and highlights its contribution to cancer immunotherapy. [ABSTRACT FROM AUTHOR]