Triple negative breast cancer (TNBC) is a highly heterogeneous disease with a poor prognosis and a paucity of therapeutic options. In recent years, immunotherapy has emerged as a new treatment option for patients with TNBC. However, this therapeutic evolution is paralleled by a growing need for biomarkers which allow for a better selection of patients who are most likely to benefit from this immune checkpoint inhibitor (ICI)-based regimen. These biomarkers will not only facilitate a better optimization of treatment strategies, but they will also avoid unnecessary side effects in non-responders, and limit the increasing financial toxicity linked to the use of these agents. Huge efforts have been deployed to identify predictive biomarkers for the ICI, but until now, the fruits of this labor remained largely unsatisfactory. Among clinically validated biomarkers, only programmed death-ligand 1 protein (PD-L1) expression has been prospectively assessed in TNBC trials. In addition to this, microsatellite instability and a high tumor mutational burden are approved as tumor agnostic biomarkers, but only a small percentage of TNBC fits this category. Furthermore, TNBC should no longer be approached as a single biological entity, but rather as a complex disease with different molecular, clinicopathological, and tumor microenvironment subgroups. This review provides an overview of the validated and evolving predictive biomarkers for a response to ICI in TNBC.