Indications of immunotherapy in oncology are continuously expanding, and unconventional types of response have been observed with these new treatments. These include transient progressive disease followed by a partial response, described as pseudoprogression, that raises the question of treatment beyond progression; and rapid disease progression associated with clinical decline, reported as hyperprogression. However, there are currently no consensual definitions of these phenomena and their impact on daily practice remains unclear. We reviewed existing data on pseudoprogression and hyperprogression with a focus on the definitions, incidence, predictive factors, potential biological mechanisms, and methods published to help distinguish pseudoprogression from progression and hyperprogression. The incidence of pseudoprogression ranged from 0 to 15%, with some authors also including disease stabilization after a first progression. For hyperprogression, incidence ranged from 4 to 29% with various definitions, and several authors reported a correlation with worse survival. Both phenomena were observed in a large panel of cancer types. Several radiological and biological methods have been reported to help distinguish pseudoprogression from progression and hyperprogression, such as analysis of radiomics, and circulating-tumor DNA or cell-free DNA, but these need to be confirmed in larger prospective cohorts. In conclusion, pseudoprogression and hyperprogression are both frequent types of responses under immunotherapy, and there is a need to better characterize these to improve the management of cancer patients. Treatment beyond progression should always be considered with caution and necessitates close clinical monitoring. In case of suspected hyperprogression, immunotherapy should be stopped early.