Cancer cells can evade immune surveillance through the molecular interactions of immune checkpoint proteins, including programmed death 1 (PD-1), PD-L1, and cytotoxic T lymphocyte-associated antigen 4 (CTLA-4). Since 2011, the FDA-approved antibody drugs ipilimumab (Yervoy®), nivolumab (Opdivo®), pembrolizumab (Keytruda®), cemiplimab (Libtayo®), atezolizumab (Tecentriq®), durvalumab (Imfinzi®), and avelumab (Bavencio®), which block the immune checkpoint proteins, have brought about a significant breakthrough in the treatment of a wide range of cancers, as they can induce durable therapeutic responses. In recent years, crystal structures of the antibodies against PD-1, PD-L1, and CTLA-4 have been reported. In this review, we describe the latest structural studies of these monoclonal antibodies and their interactions with the immune checkpoint proteins. A comprehensive analysis of the interactions of these immune checkpoint blockers can provide a better understanding of their therapeutic mechanisms of action. The accumulation of these structural studies would provide a basis that is essential for the rational design of next-generation therapies in immuno-oncology.