Immune checkpoint blockade, which blocks inhibitory signals of T cell activation, has shown tremendous success in treating cancer, although success still remains limited to a fraction of patients. To date, clinically effective CD8+ T cell responses appear to target predominantly antigens derived from tumour-specific mutations that accumulate in cancer, also called neoantigens. Tumour antigens are displayed on the surface of cells by class I human leukocyte antigens (HLA-I). To elicit an effective antitumour response, antigen presentation has to be successful at two distinct events: first, cancer antigens have to be taken up by dendritic cells (DCs) and cross-presented for CD8+ T cell priming. Second, the antigens have to be directly presented by the tumour for recognition by primed CD8+ T cells and killing. Tumours exploit multiple escape mechanisms to evade immune recognition at both of these steps. Here, we review the tumour-derived factors modulating DC function, and we summarize evidence of immune evasion by means of quantitative modulation or qualitative alteration of the antigen repertoire presented on tumours. These mechanisms include modulation of antigen expression, HLA-I surface levels, alterations in the antigen processing and presentation machinery in tumour cells. Lastly, as complete abrogation of antigen presentation can lead to natural killer (NK) cell-mediated tumour killing, we also discuss how tumours can harbour antigen presentation defects and still evade NK cell recognition.