Clinical trials with immune checkpoint inhibitors have provided important insights into the mode of action of anticancer immune therapies and potential mechanisms of immune escape. Development of the next wave of rational clinical combination strategies will require a deep understanding of the mechanisms by which combination partners influence the battle between the immune system's capabilities to fight cancer and the immune-suppressive processes that promote tumor growth. This review focuses on our current understanding of tumor and circulating pharmacodynamic correlates of immune modulation and elaborates on lessons learned from human translational research with checkpoint inhibitors. Actionable tumor markers of immune activation including CD8(+)T cells, PD-L1 IHC as a pharmacodynamic marker of T-cell function, T-cell clonality, and challenges with conduct of trials that ask scientific questions from serial biopsies are addressed. Proposals for clinical trial design, as well as future applications of peripheral pharmacodynamic endpoints as potential surrogates of early clinical activity, are discussed. On the basis of emerging mechanisms of response and immune escape, we propose the concept of the tumor immunity continuum as a framework for developing rational combination strategies.