Chemokines are chemotactic-competent molecules composed of a family of small cytokines, playing a key role in regulating tumor progression. The roles of chemokines in antitumor immune responses are of great interest. CXCL9, CXCL10, and CXCL11 are important members of chemokines. It has been widely investigated that these three chemokines can bind to their common receptor CXCR3 and regulate the differentiation, migration, and tumor infiltration of immune cells, directly or indirectly affecting tumor growth and metastasis. Here, we summarize the mechanism of how the CXCL9/10/11–CXCR3 axis affects the tumor microenvironment, and list the latest researches to find out how this axis predicts the prognosis of different cancers. In addition, immunotherapy improves the survival of tumor patients, but some patients show drug resistance. Studies have found that the regulation of CXCL9/10/11–CXCR3 on the tumor microenvironment is involved in the process of changing immunotherapy resistance. Here we also describe new approaches to restoring sensitivity to immune checkpoint inhibitors through the CXCL9/10/11–CXCR3 axis.