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The advent of immune checkpoint inhibitors (ICIs) has represented a breakthrough in the treatment of many cancers, although a high number of patients fail to respond to ICIs, which is partially due to the ability of tumor cells to evade immune system surveillance. Non-coding microRNAs (miRNAs) have been shown to modulate the immune evasion of tumor cells, and there is thus growing interest in elucidating whether these miRNAs could be targetable or proposed as novel biomarkers for prognosis and treatment response to ICIs. We therefore performed an extensive literature analysis to evaluate the clinical utility of miRNAs with a confirmed direct relationship with treatment response to ICIs. As a result of this systematic review, we have stratified the miRNA landscape into (i) miRNAs whose levels directly modulate response to ICIs, (ii) miRNAs whose expression is modulated by ICIs, and (iii) miRNAs that directly elicit toxic effects or participate in immune-related adverse events (irAEs) caused by ICIs.