Immune checkpoint inhibitors (ICIs) have rejuvenated therapeutic approaches in oncology. Although responses tend to be durable, response rates vary in many cancer types. Thus, the identification and validation of predictive biomarkers is a key clinical priority, the answer to which is likely to lie in the tumour microenvironment (TME). A wealth of data demonstrates the huge impact of the TME on ICI response and resistance. However, these data also reveal the complexity of the TME composition including the spatiotemporal interactions between different cell types and their dynamic changes in response to ICIs. Here, we briefly review some of the modalities that sculpt the TME, in particular the metabolic milieu, hypoxia and the role of cancer-associated fibroblasts. We then discuss recent approaches to dissect the TME with a focus on single-cell RNA sequencing, spatial transcriptomics and spatial proteomics. We also discuss some of the clinically relevant findings these multi-modal analyses have yielded.