Treatment with immune checkpoint inhibitors, widely known as immune checkpoint blockade therapy (ICBT), is now the fourth pillar in cancer treatment, offering the chance of durable remission for patients with advanced disease. However, ICBT fails to induce objective responses in most cancer patients with still others progressing after an initial response. It is necessary, therefore, to elucidate the primary and acquired resistance mechanisms to ICBT to improve its efficacy. Here, we highlight the paradoxical role of the cytokine interferon-γ (IFN-γ) in ICBT response: on the one hand induction of IFN-γ signalling in the tumour microenvironment correlates with good ICBT response as it drives the cellular immune responses required for tumour destruction; nonetheless, IFN-γ signalling is implicated in ICBT acquired resistance. We address the negative feedback and immunoregulatory effects of IFN-γ signalling that promote immune evasion and resistance to ICBT and discuss how these can be targeted pharmacologically to restore sensitivity or circumvent resistance.