Simple Summary Inflammation has been acknowledged as one of the causes of increased cancer risk. Among the pro-inflammatory mediators, tumor necrosis factor alpha (TNF alpha) has been identified as an important player in cancer progression and metastasis. On the other hand, TNF alpha has a central role in promoting innate and adaptive immune responses. These apparently controversial effects are now starting to be uncovered through different studies on TNFalpha isoforms and distinct mechanisms of action of TNF alpha receptors. The use of immunotherapies for cancer treatment such as monoclonal antibodies against cancer cells or immune checkpoints and adoptive cell therapy, are beginning to broaden our understanding of TNF alpha's actions and its potential therapeutic role. This work describes TNF alpha participation as a source of treatment resistance and its implication in side effects to immunotherapy, as well as its participation in different cancer types, where TNF alpha can be a suitable target to improve therapy outcome. Tumor necrosis factor alpha (TNF alpha) is a pleiotropic cytokine known to have contradictory roles in oncoimmunology. Indeed, TNF alpha has a central role in the onset of the immune response, inducing both activation and the effector function of macrophages, dendritic cells, natural killer (NK) cells, and B and T lymphocytes. Within the tumor microenvironment, however, TNF alpha is one of the main mediators of cancer-related inflammation. It is involved in the recruitment and differentiation of immune suppressor cells, leading to evasion of tumor immune surveillance. These characteristics turn TNF alpha into an attractive target to overcome therapy resistance and tackle cancer. This review focuses on the diverse molecular mechanisms that place TNF alpha as a source of resistance to immunotherapy such as monoclonal antibodies against cancer cells or immune checkpoints and adoptive cell therapy. We also expose the benefits of TNF alpha blocking strategies in combination with immunotherapy to improve the antitumor effect and prevent or treat adverse immune-related effects.