Nowadays, immunotherapy is one of the most promising anti-tumor therapeutic strategy. Specifically, immune-related targets can be used to predict the efficacy and side effects of immunotherapy and monitor the tumor immune response. In the past few decades, increasing numbers of novel immune biomarkers have been found to participate in certain links of the tumor immunity to contribute to the formation of immunosuppression and have entered clinical trials. Here, we systematically reviewed the oncogenesis and progression of cancer in the view of anti-tumor immunity, particularly in terms of tumor antigen expression (related to tumor immunogenicity) and tumor innate immunity to complement the cancer-immune cycle. From the perspective of integrated management of chronic cancer, we also appraised emerging factors affecting tumor immunity (including metabolic, microbial, and exercise-related markers). We finally summarized the clinical studies and applications based on immune biomarkers. Overall, immune biomarkers participate in promoting the development of more precise and individualized immunotherapy by predicting, monitoring, and regulating tumor immune response. Therefore, targeting immune biomarkers may lead to the development of innovative clinical applications.