The highly complex and heterogenous ecosystem of a tumour not only contains malignant cells, but also interacting cells from the host such as endothelial cells, stromal fibroblasts, and a variety of immune cells that control tumour growth and invasion. It is well established that anti-tumour immunity is a critical hurdle that must be overcome for tumours to initiate, grow and spread and that anti-tumour immunity can be modulated using current immunotherapies to achieve meaningful anti-tumour clinical responses. Pioneering studies in melanoma, ovarian and colorectal cancer have demonstrated that certain features of the tumour immune microenvironment (TME)—in particular, the degree of tumour infiltration by cytotoxic T cells—can predict a patient’s clinical outcome. More recently, studies in renal cell cancer have highlighted the importance of assessing the phenotype of the infiltrating T cells to predict early relapse. Furthermore, intricate interactions with non-immune cellular players such as endothelial cells and fibroblasts modulate the clinical impact of immune cells in the TME. Here, we review the critical components of the TME in solid tumours and how they shape the immune cell contexture, and we summarise numerous studies evaluating its clinical significance from a prognostic and theranostic perspective.