The modulation of immune checkpoint receptors has been one of the most successful, exciting, and explored approaches for cancer immunotherapy. Currently, several immune checkpoint modulators, mainly monoclonal antibodies, are showing remarkable results. However, the failure to show a response in most patients and the induction of severe immune-related adverse effects are the major drawbacks. Novel approaches concerning the development of immune modulatory small molecules have emerged as an alternative. Nevertheless, the lack of structural information about immune checkpoint receptors has hindered the rational design of those small-molecule modulators by preventing the use of methodologies such as computer-aided drug design. Herein, we provide an overview and critical analysis of the structural and dynamic details of immune checkpoint receptors (cytotoxic T-lymphocyte-associated antigen 4 (CTLA-4), programmed cell death protein 1 (PD-1), and glucocorticoid-induced TNFR-related protein (GITR)) and their interaction with known modulators. This knowledge is essential to advance the understanding of their binding mode and guide the design of novel effective targeted anticancer medicines.