Immune checkpoint inhibitors (ICIs) have revolutionized the therapeutic landscape of cancer and have been widely approved for use in the treatment of diverse solid tumors. Targeted therapy has been an essential part of cancer treatment for decades, and in most cases, a special drug target is required. Numerous studies have confirmed the synergistic effect of combining ICIs with targeted therapy. For example, triple therapy of PD-L1 inhibitor atezolizumab plus BRAF inhibitor vemurafenib and MEK inhibitor cobimetinib has been approved as the first-line treatment in advanced melanoma patients with mutations. However, not all combinations of ICIs and targeted therapy work. Combining ICIs with EGFR inhibitors in non-small-cell lung cancer (NSCLC) with mutations only triggered toxicities and did not improve efficacy. Therefore, the efficacies of combinations of ICIs and different targeted agents are distinct. This review firstly and comprehensively covered the current status of studies on the combination of ICIs mainly referring to PD-1 and PD-L1 inhibitors and targeted drugs, including angiogenesis inhibitors, EGFR/HER2 inhibitors, PARP inhibitors and MAPK/ERK signaling pathway inhibitors, in the treatment of solid tumors. We discussed the underlying mechanisms, clinical efficacies, side effects, and potential predictive biomarkers to give an integrated view of the combination strategy and provide perspectives for future directions in solid tumors.