In the last decades, a novel field has emerged in the cure of cancer, by boosting the ability of the patient's immune system to recognize and kill tumour cells. Although excellent and encouraging results, exploiting the effect of genetically modified T cells, have been obtained, it is now evident that tumour malignancies can evolve several mechanisms to escape such immune responses, thus continuing their growth in the body. These mechanisms are in part due to tumour cell metabolic or genetic alterations, which can render the target invisible to the immune system or can favour the generation of an extracellular milieu preventing immune cell infiltration or cytotoxicity. Such mechanisms may also involve the accumulation inside the tumour microenvironment of different immune-suppressive cell types, which further down-regulate the activity of cytotoxic immune cells either directly by interacting with them or indirectly by releasing suppressive molecules. In this review, we will first focus on describing several mechanisms by which tumour cells may dampen or abrogate the immune response inside the tumour microenvironment and, second, on current strategies that are adopted to cope with and possibly overcome such alterations, thus ameliorating the efficacy of the current-in-use anti-cancer immuno-therapies.