Major histocompatibility class I (MHC I) molecules bind peptides derived from a cell's expressed genes and then transport and display this antigenic information on the cell surface. This allows CD8 T cells to identify pathological cells that are synthesizing abnormal proteins, such as cancers that are expressing mutated proteins. In order for many cancers to arise and progress, they need to evolve mechanisms to avoid elimination by CD8 T cells. MHC I molecules are not essential for cell survival and therefore one mechanism by which cancers can evade immune control is by losing MHC I antigen presentation machinery (APM). Not only will this impair the ability of natural immune responses to control cancers, but also frustrate immunotherapies that work by re-invigorating anti-tumor CD8 T cells, such as checkpoint blockade. Here we review the evidence that loss of MHC I antigen presentation is a frequent occurrence in many cancers. We discuss new insights into some common underlying mechanisms through which some cancers inactivate the MHC I pathway and consider some possible strategies to overcome this limitation in ways that could restore immune control of tumors and improve immunotherapy.