Immunotherapy of cancer has finally materialized following the success of immune checkpoint blockade. Since down-regulation of immune checkpoint mechanisms is beneficial in cancer treatment, it is important to ask why tumors are infamously filled with the immunosuppressive mechanisms. Indeed, immune checkpoints are physiological negative feedback mechanisms of immune activities, and the induction of such mechanisms is important in preventing excessive destruction of inflamed normal tissues. A condition commonly found in tumors and inflamed tissues is tissue hypoxia. Oxygen deprivation under hypoxic conditions by itself is immunosuppressive because proper oxygen supply could support bioenergetic demands of immune cells for optimal immune responses. However, importantly, hypoxia has been found to up-regulate a variety of immune checkpoints and to be able to drive a shift toward a more immunosuppressive environment. Moreover, extracellular adenosine, which accumulates due to tissue hypoxia, also contributes to the up-regulation of other immune checkpoints. Taken together, tissue oxygen is a key regulator of the immune response by directly affecting the energy status of immune effectors and by regulating the intensity of immunoregulatory activity in the environment. The regulators of various immune checkpoint mechanisms may represent the next focus to modulate the intensity of immune responses and to improve cancer immunotherapy.