Chronic inflammation is considered a major risk factor for cancer formation. Inflammation within the tumor environment plays a role in its response to therapy, growth, and prognosis. Cancer associated inflammation is known to occur in the tumor microenvironment and in the systemic circulation, and is correlated with disease progression and prognosis in many cancers. Blood cells such as neutrophils, lymphocytes, platelets, and circulating proteins such as C-reactive protein, and interleukins, such as IL-6, have been associated with inflammatory responses, which contribute to tumorigenesis. Cancer has found ways to evade the immune response; a pathway that can attenuate the innate immune response is via blocking immune checkpoints. Development of monoclonal antibodies against inhibitory immune checkpoints such as cytotoxic T-lymphocyte-associated protein 4 (CTLA-4) and programmed cell death protein 1 (PD-1) have given rise to immunotherapy, which has shown remarkable responses in anti-tumor activity resulting in several U.S. Federal and Drug Administration (FDA)-approved checkpoint inhibitors. Various inflammatory markers and their prognostic and predictive implications in malignancies treated with immunotherapy will be discussed in this review.