Tumours can escape T-cell responses by losing major histocompatibility complex (MHC)/ human leucocyte antigen (HLA) class I molecules. In the early stages of cancer development, primary tumours are composed of homogeneous HLA class I-positive cancer cells. Subsequently, infiltration of the tumour by T cells generates a vast diversity of tumour clones with different MHC class I expressions. A Darwinian type of T-cell-mediated immune selection results in a tumour composed solely of MHC class I-negative cells. Metastatic colonization is a highly complex phenomenon in which T lymphocytes and natural killer cells play a major role. We have obtained evidence that the MHC class I phenotype of metastatic colonies can be highly diverse and is not necessarily the same as that of the primary tumour. The molecular mechanisms responsible for MHC/HLA class I alterations are an important determinant of the clinical response to cancer immunotherapy. Hence, immunotherapy can successfully up-regulate MHC/HLA class I expression if the alteration is reversible ('soft'), leading to T-cell-mediated tumour regression. In contrast, it cannot recover this expression if the alteration is irreversible ('hard'), when tumour cells escape T-cell-mediated destruction with subsequent cancer progression. This review summarizes clinical and experimental data on the complexity of immune escape mechanisms used by tumour cells to avoid T and natural killer cell responses. We also provide in-depth analysis of the nature of MHC/HLA class I changes during metastatic colonization and contribute evidence of the enormous diversity of MHC/HLA class I phenotypes that can be produced by tumour cells during this process.