Microbiome is becoming crucial in that the balance between human health and disease can be mediated by the gut microbiome. The gut microbiome can modulate the host immune system both locally and systemically. Cancer immunotherapy has emerged as a promising way in the treatment of patients with cancer. Accumulating evidence supports that microbiome affects the therapeutic efficacy of cancer immunotherapy, particularly immune checkpoint inhibitors. Here, we discuss the mutual relationship among gut microbiome, cancer, immunity, and cancer immunotherapy, with a focus on immunotherapy. Also, we briefly introduce the relevant challenges that affect the therapeutic efficacy and present the possible solutions.