Classical MHC molecules present processed peptides from endogenous protein antigens on the cell surface, which allows CD8(+) cytotoxic T lymphocytes (CTLs) to recognize and respond to the abnormal antigen repertoire of hazardous cells, including tumor cells. The light chain, β2-microglobulin (β2m), is an essential constant component of all trimeric MHC class I molecules. There is convincing evidence that β2m deficiency generates immune escape phenotypes in different tumor entities, with an exceptionally high frequency in colorectal carcinoma (CRC) and melanoma. Damage of a single β2m gene by LOH on chromosome 15 may be sufficient to generate a tumor cell precommitted to escape. In addition, this genetic lesion is followed in some tumors by a mutation of the second gene (point mutation or insertion/deletion), which produces a tumor cell unable to express any HLA class I molecule. The pattern of mutations found in microsatellite unstable colorectal carcinoma (MSI-H CRC) and melanoma showed a striking similarity, namely the predominance of frameshift mutations in repetitive CT elements. This review emphasizes common but also distinct molecular mechanisms of β2m loss in both tumor types. It also summarizes recent studies that point to an acquired β2m deficiency in response to cancer immunotherapy, a barrier to successful vaccination or adoptive cellular therapy.