Tumors use several strategies to evade the host immune response, including creation of an immune-suppressive and hostile tumor environment. Tissue hypoxia due to inadequate blood supply is reported to develop very early during tumor establishment. Hypoxic stress has a strong impact on tumor cell biology. In particular, tissue hypoxia contributes to therapeutic resistance, heterogeneity and progression. It also interferes with immune plasticity, promotes the differentiation and expansion of immune-suppressive stromal cells, and remodels the metabolic landscape to support immune privilege. Therefore, tissue hypoxia has been regarded as a central factor for tumor aggressiveness and metastasis. In this regard, manipulating host–tumor interactions in the context of the hypoxic tumor microenvironment may be important in preventing or reverting malignant conversion. We will discuss how tumor microenvironment-driven transient compositional tumor heterogeneity involves hypoxic stress. Tumor hypoxia is a therapeutic concern since it can reduce the effectiveness of conventional therapies as well as cancer immunotherapy. Thus, understanding how tumor and stromal cells respond to hypoxia will allow for the design of innovative cancer therapies that can overcome these barriers. A better understanding of hypoxia-dependent mechanisms involved in the regulation of immune tolerance could lead to new strategies to enhance antitumor immunity. Therefore, discovery and validation of therapeutic targets derived from the hypoxic tumor microenvironment is of major importance. In this context, critical hypoxia-associated pathways are attractive targets for immunotherapy of cancer. In this review, we summarize current knowledge regarding the molecular mechanisms induced by tumor cell hypoxia with a special emphasis on therapeutic resistance and immune suppression. We emphasize mechanisms of manipulating hypoxic stress and its associated pathways, which may support the development of more durable and successful cancer immunotherapy approaches in the future.