Induction of immunoproteasome (IP) expression in tumour cells can enhance antigen presentation and immunogenicity. Recently, the overexpression of IP genes has been associated with better prognosis and response to immune checkpoint blockade (ICB) therapies in melanoma. However, the extent of this association in other solid tumours and how that is influenced by tumour cell‐intrinsic and cell‐extrinsic factors remain unclear. Here, we address this by exploring the gene expression patterns from available bulk and single‐cell transcriptomic data of primary tumours. We find that tumours with high‐IP expression exhibit cytotoxic immune cell infiltration and upregulation of IFN‐γ and TNF‐α pathways in tumour cells. However, the association of IP expression with overall survival (TCGA cohort) and response to ICB therapy (non‐TCGA cohorts) is tumour‐type specific (better in non‐small‐cell lung, breast, bladder and thymus; and worse in glioma and renal) and is greatly influenced by pro‐ or antitumourigenic immune cell infiltration patterns. This emphasises the need for considering immune cell infiltration patterns, along with IP expression, as a prognostic biomarker to predict overall survival or response to ICB therapies in solid tumours, besides melanoma.