The tumor microenvironment (TME) is characterized by a symbiosis between cancer cells and the immune cells. The scarcity of oxygen generates hostility that forces cancer cells to alter their biological features in solid tumors. In response to low oxygen availability, the Hypoxia Inducible Factors (HIF-1/2/3α) act as metabolic mediators, producing extracellular metabolites in the tumor microenvironment that influence the immune cells. The modulation of lactate and adenosine on immune evasion has been widely described; however, under hypoxic conditions, it has been barely addressed. Evidence has demonstrated an interplay between cancer and the immune cells, and the present review explores the findings that support HIFs bridging the gap between the rise of these metabolites and the immunosurveillance failure in a hypoxic context. Moreover, new insights based on systemic oxygen administration are discussed, which might counterbalance the effect mediated by lactate and adenosine, to recover anti-tumor immunity. Thus, the disruption of anti-tumor immunity has been the focus of recent research and this novel avenue opens therapeutic vulnerabilities that can be useful for cancer patients.