The emergence of immune checkpoint inhibitors (ICIs) has revolutionized the field of oncology. For many cancer types, treatment paradigms have changed, as immunotherapy is increasingly being integrated into frontline standard-of-care treatments and producing meaningful and prolonged responses. This has inspired an avalanche of clinical trials studying ICIs in all types of malignancies, including gynecological cancers. Ovarian and endometrial cancers are characterized by DNA damage repair defects, either via disruption of the homologous recombination DNA repair mechanism in the former or via defects in the mismatch repair (MMR) pathway in the latter, which lead to a high load of neoantigens in both. Cervical cancer is dependent on the expression of human papillomavirus (HPV) proteins, which induce an immune response. Regardless, clinical trials testing ICIs in gynecological malignancies have initially led to disappointing results. Despite durable responses in some patients, overall response rates have been dismal. Nevertheless, in recent years, with the development of better predictive tumor biomarkers, such as microsatellite instability for endometrial cancer and programmed death ligand 1 for cervical cancer, ICIs have found their way into routine treatments for patients with advanced-stage disease. ICI-based combinations, although adding toxicity, have further improved response rates, and new combinations are currently being tested in clinical trials, as are other immunotherapy modalities, such as adoptive cell transfer and HPV-based vaccines. This review summarizes current clinical evidence supporting the use of immunotherapy in gynecological malignancies and describes studies in progress, with a focus on ICIs and predictive response biomarkers.