The importance of the immune system in cancer therapy has been reaffirmed by the success of the immune checkpoint blockade. The complex tumor microenvironment and its interaction with the immune system, however, remain mysteries. Molecular imaging may shed light on fundamental aspects of the immune response to elucidate the mechanism of cancer immunotherapy. In this review, we discuss various imaging approaches that offer in-depth insight into the tumor microenvironment, checkpoint blockade therapy, and T cell-mediated antitumor immune responses. Recent advances in the molecular imaging modalities, including magnetic resonance imaging (MRI), positron electron tomography (PET), and optical imaging (e.g., fluorescence and intravital imaging) for in situ tracking of the immune response, are discussed. It is envisaged that the integration of imaging with immunotherapy may broaden our understanding to predict a particular antitumor immune response.