Immunotherapy aims to activate the immune system to fight cancer in a very specific and targeted manner. Despite the success of different immunotherapeutic strategies, in particular antibodies directed against checkpoints as well as adoptive T-cell therapy, the response of patients is limited in different types of cancers. This attributes to escape of the tumor from immune surveillance and development of acquired resistances during therapy. In this review, the different evasion and resistance mechanisms that limit the efficacy of immunotherapies targeting tumor-associated antigens presented by major histocompatibility complex molecules on the surface of the malignant cells are summarized. Overcoming these escape mechanisms is a great challenge, but might lead to a better clinical outcome of patients and is therefore currently a major focus of research.