Cancer immunotherapy has emerged as one of the most important new treatments for cancer in many years, moving rapidly to front-line therapy for several cancers. Cancer immunotherapy is based on treatment with immune checkpoint inhibitors (ICI), which are monoclonal antibodies directed toward immunoregulatory proteins including PD-1, PD-L1 and CTLA-4. ICI inhibit interactions between these proteins and their ligands, disabling physiologic immune regulatory networks and enhancing anti-tumor immunity. However, since the immune response cannot be directed specifically to the tumor, ICI are associated with immune-related adverse events (irAEs) resulting from immune-mediated attack of normal tissues. We and others have reported a high incidence of thrombosis in patients treated with ICI, which may approach 20%. Given the rapidly increasing use of ICIs, it is clear that ICI-Associated Thrombosis (IAT) is a major emerging clinical problem. However, there is a remarkable knowledge gap concerning mechanisms of IAT. IAT may be a composite irAE resulting from activation of blood and vascular cells, leading to thromboinflammation. Cancer itself is an inflammatory disorder, and inducing further inflammation through ICI administration may stimulate procoagulant activity by multiple cell types. Moreover, some blood and vascular cells express ICI target proteins. Here, we review the results of several studies describing the clinical manifestations of IAT, as well as our recent studies demonstrating that elevated levels of myeloid derived suppressor cells and inflammatory cytokines may serve as biomarkers of IAT. It is hoped that the concepts reviewed here may stimulate further research into this important clinical problem.