Immunotherapy, specifically the use of immune checkpoint inhibitors, offers a new approach to fighting cancer. Although the results of treatment with immune checkpoint inhibition alone have been remarkable for certain cancers, these results are not universal. Preclinical and early clinical studies indicate the potential for synergistic effects when immune checkpoint inhibition is combined with immunogenic local therapies such as ablation and embolization. This review offers an overview of immunology as it relates to immune checkpoint inhibition and the possibilities for synergy when combined with interventional radiology treatments.