Cancer survival and progression depend on the ability of tumor cells to avoid immune recognition. Advances in the understanding of cancer immunity and tumor immune escape mechanisms enabled the development of immunotherapeutic approaches. In patients with otherwise incurable metastatic cancers, immunotherapy resulted in unprecedented response rates with the potential for durable complete responses. However, primary and acquired resistance mechanisms limit the efficacy of immunotherapy. Further therapeutic advances require a deeper understanding of the interplay between immune cells and tumors. Most high-throughput studies within the past decade focused on an omics characterization at DNA and RNA level. However, proteins are the molecular effectors of genomic information; therefore, the study of proteins provides deeper understanding of cellular functions. Recent advances in mass spectrometry (MS)-based proteomics at a system-wide scale may allow translational and clinical discoveries by enabling the analysis of understudied post-translational modifications, subcellular protein localization, cell signaling, and protein–protein interactions. In this review, we discuss the potential contribution of MS-based proteomics to preclinical and clinical research findings in the context of tumor immunity and cancer immunotherapies.