Immunotherapy has emerged in recent years and has revolutionized the treatment of cancer. Immune checkpoint inhibitors, including anti-cytotoxic T lymphocyte antigen-4 (CTLA-4), anti-programmed cell death-1 (PD-1) and anti-programmed cell death ligand-1 (PD-L1) agents, are the first of this new generation of treatments. Anti-PD-1/PD-L1 agents target immune cells by blocking the PD-1/PD-L1 pathway. This blockade leads to enhancement of the immune system and therefore restores the tumour-induced immune deficiency selectively in the tumour microenvironment. However, this shift in the balance of the immune system can also produce adverse effects that involve multiple organs. The pattern of toxicity is different from traditional chemotherapy agents or targeted therapy, and there is still little experience in recognizing and managing it. Thus, toxicity constitutes a real clinical management challenge and any new alteration should be suspected of being treatment-related. The most common toxicities occur in the skin, gastrointestinal tract, lungs, and endocrine, musculoskeletal, renal, nervous, haematologic, cardiovascular and ocular systems. Immune-mediated toxic effects are usually manageable, but toxicities may sometimes lead to treatment withdrawal, and even fulminant and fatal events can occur. Oncologists need to collaborate with internists, clinical immunologists and other specialists to understand, manage and prevent toxicity derived from immunotherapy. This review focuses on the mechanisms of toxicity of anti-PD-1/PD-L1 agents, and its diagnosis and management.