Immunotherapy has revolutionized cancer treatment during the last years. Several monoclonal antibodies that are specific for regulatory checkpoint molecules, that is, immune checkpoint inhibitors (ICIs), have been approved and are currently in use for various types of cancer in different lines of treatment. Cancer immunotherapy aims for enhancing the immune response against cancer cells. Despite their high efficacy, ICIs are associated to a new spectrum of adverse events of autoimmune origin, often referred to as immune-related adverse events (irAEs), which limit the utility of these drugs. These irAEs are quite common and can affect almost every organ. The grade of toxicity varies from very mild to life-threatening. The pathophysiological mechanisms behind these events are not fully understood. In this review, we will summarize current evidence specifically regarding the rheumatic irAEs and we will focus on current and future treatment strategies. Treatment guidelines largely support the use of glucocorticoids as first-line therapy, when symptomatic therapy is not efficient, and for more persistent and/or moderate/severe degree of inflammation. Targeted therapies are higher up in the treatment pyramid, after inadequate response to glucocorticoids and conventional, broad immunosuppressive agents, and for severe forms of irAEs. However, preclinical data provide evidence that raise concerns regarding the potential risk of impaired antitumoral effect. This potential risk of glucocorticoids, together with the high efficacy and potential synergistic effect of newer, targeted immunomodulation, such as tumor necrosis factor and interleukin-6 blockade, could support a paradigm shift, where more targeted treatments are considered earlier in the treatment sequence.