Cancer immunotherapy, including immune checkpoint blockade and adoptive CAR T-cell therapy, has clearly established itself as an important modality to treat melanoma and other malignancies. Despite the tremendous clinical success of immunotherapy over other cancer treatments, this approach has shown substantial benefit to only some of the patients while the rest of the patients have not responded due to immune evasion. In recent years, a combination of cancer immunotherapy together with existing anticancer treatments has gained significant attention and has been extensively investigated in preclinical or clinical studies. In this review, we discuss the therapeutic potential of novel regimens combining immune checkpoint inhibitors with therapeutic interventions that (1) increase tumor immunogenicity such as chemotherapy, radiotherapy, and epigenetic therapy; (2) reverse tumor immunosuppression such as TAMs, MDSCs, and Tregs targeted therapy; and (3) reduce tumor burden and increase the immune effector response with rationally designed dual or triple inhibitory chemotypes.