Mutations in PTEN activate the phosphoinositide 3-kinase (PI3K) signalling network, leading to many of the characteristic phenotypic changes of cancer. However, the primary effects of this gene on oncogenesis through control of the PI3K-AKT-mammalian target of rapamycin (mTOR) pathway might not be the only avenue by which PTEN affects tumour progression. PTEN has been shown to regulate the antiviral interferon network and thus alter how cancer cells communicate with and are targeted by immune cells. An active, T cell-infiltrated microenvironment is critical for immunotherapy success, which is also influenced by mutations in DNA damage repair pathways and the overall mutational burden of the tumour. As PTEN has a role in the maintenance of genomic integrity, it is likely that a loss of PTEN affects the immune response at two different levels and might therefore be instrumental in mediating failed responses to immunotherapy. In this review, we summarise findings that demonstrate how the loss of PTEN function elicits specific changes in the immune response in several types of cancer. We also discuss ongoing clinical trials that illustrate the potential utility of PTEN as a predictive biomarker for immune checkpoint blockade therapies.