The dependence of cancer on an immunotolerant tumor microenvironment (TME) is well established. Immunotherapies that overcome tumor-induced immune suppression have been central to recent advancements in oncology. This is highlighted by the success of agents that interrupt PD-1 mediated immune suppression in a range of cancers. However, while PD-1 blockade has been paradigm-shifting in many malignancies, the majority of cancers show high rates of primary resistance to this approach. This has led to a rapid expansion in therapeutic targeting of other immune checkpoint molecules to provide combination immune checkpoint blockade (ICB), with one such promising approach is blockade of Lymphocyte Activation Gene 3 (LAG-3). Clinically, lymphoproliferative disorders show a wide spectrum of responses to ICB. Specific subtypes including classical Hodgkin lymphoma have demonstrated striking efficacy with anti-PD-1 therapy. Conversely, early trials of ICB have been relatively disappointing in common subtypes of Non-Hodgkin lymphoma. In this review, we describe the TME of common lymphoma subtypes with an emphasis on the role of prominent immune checkpoint molecules PD-1 and LAG3. We will also discuss current clinical evidence for ICB in lymphoma and highlight key areas for further investigation where synergistic dual checkpoint blockade of LAG-3 and PD-1 could be used to overcome ICB resistance.