The treatment of acute myeloid leukaemia (AML) and myelodysplastic syndrome (MDS) has seen dramatic advances with the approval of multiple novel agents in recent years. However, unlike solid malignancies, immune checkpoint inhibitors have yet to garner regulatory approval in AML and MDS with recent randomized clinical trials yielding only underwhelming results. Novel targets have been explored in early phase clinical trials with impressive results leading to ongoing subsequent controlled trials. However, major challenges in the field remain such as the validation of predictive genetic, molecular, and immunophenotypic biomarkers, optimization of clinical trial design, and the identification of novel synergistic combination therapies. Herein, we review recent clinical trial data focusing on randomized clinical trials and highlight limitations of the currently available evidence in an effort to suggest options for advancing the field.