The immune system plays a key role in cancer suppression. Immunotherapy is widely used as a treatment method in patients with various types of cancer. Immune checkpoint blockade using antibodies, such as anti-PD-1, anti-PD-L1, and anti-CTLA-4, is currently gaining popularity. A systematic literature search was executed, and all available data was summarized. This review shows that specific dietary patterns (such as, e.g., animal-based, vegetarian, or Mediterranean diet) alter the gut microbiome’s composition. An appropriate intestinal microbiota structure might modulate the function of human immune system, which affects the bodily anti-cancer response. This paper shows also that specific bacteria species inhabiting the gastrointestinal tract can have a beneficial influence on the efficacy of immunotherapy. Antibiotics weaken gut bacteria and worsen the immune checkpoint blockers’ efficacy, whereas a faecal microbiota transplant or probiotics supplementation may help restore bacterial balance in the intestine. Other factors (like vitamins, glucose, or BMI) change the cancer treatment response, as well. This review demonstrates that there is a strong association between one’s diet, gut microbiome composition, and the outcome of immunotherapy. However, further investigation on this subject is required.