Immunotherapy with checkpoint blockade induces rapid and durable immune control of cancer in some patients and has driven a monumental shift in cancer treatment. Neoantigen-specific CD8+ T cells are at the forefront of current immunotherapy strategies, and the majority of drug discovery and clinical trials revolve around further harnessing these immune effectors. Yet the immune system contains a diverse range of antitumour effector cells, and these must function in a coordinated and synergistic manner to overcome the immune-evasion mechanisms used by tumours and achieve complete control with tumour eradication. A key antitumour effector is the natural killer (NK) cells, cytotoxic innate lymphocytes present at high frequency in the circulatory system and identified by their exquisite ability to spontaneously detect and lyse transformed or stressed cells. Emerging data show a role for intratumoural NK cells in driving immunotherapy response and, accordingly, there have been renewed efforts to further elucidate and target the pathways controlling NK cell antitumour function. In this Review, we discuss recent clinical evidence that NK cells are a key immune constituent in the protective antitumour immune response and highlight the major stages of the cancer-NK cell immunity cycle. We also perform a new analysis of publicly available transcriptomic data to provide an overview of the prognostic value of NK cell gene expression in 25 tumour types. Furthermore, we discuss how the role of NK cells evolves with tumour progression, presenting new opportunities to target NK cell function to enhance cancer immunotherapy response rates across a more diverse range of cancers.