Immunotherapies are yielding effective treatments for several previously untreatable cancers. Still, the identification of suitable antigens specific to the tumour that can be targets for cancer vaccines and T cell therapies is a challenge. Alternative processing of mRNA, a phenomenon that has been shown to alter the proteomic diversity of many cancers, may offer the potential of a broadened target space. Here, we discuss the promise of analysing mRNA processing events in cancer cells, with an emphasis on mRNA splicing, for the identification of potential new targets for cancer immunotherapy. Further, we highlight the challenges that must be overcome for this new avenue to have clinical applicability.