Lymphocytes and myeloid cells sense hypoxia by the hypoxia-inducible factor (HIF) transcriptional system and via other molecular mechanisms. Low O2 availability is a hallmark of most solid tumors in which infiltrating leukocytes experience severe hypoxia once away from nurturing blood vessels. HIF controls migration, differentiation, and effector functions on immune cells. Importantly, in the tumor microenvironment the hypoxia response modulates the expression levels for important molecular targets in immunotherapy such as CD137, OX-40, FOXP3, and PD-L1. Modulation by hypoxia of tumor-associated macrophages, myeloid-derived suppressor cells, and dendritic cells ought to play an important underexplored role in modulating tumor immunity. Overall, low O2 seems to invigorate some anti-tumor effector T-cell functions while conflictingly favoring T-regulatory cells (Tregs) in terms of their differentiation, suppressive functions, and recruitment. Hypoxia also has been shown to uphold myeloid cell-mediated tumor-promoting inflammation and the immunosuppressive functions of tumor-associated macrophages. Detailed research of this intricate and poorly understood balance is warranted to improve the outcome of cancer immunotherapy.