The immunotherapy revolution with the use of immune checkpoint inhibitors (ICIs) started with the clinical use of the first ICI, ipilimumab, in 2011. Since then, the field of ICI therapy has rapidly expanded - with the FDA approval of 10 different ICI drugs so far and their incorporation into the therapeutic regimens of a range of malignancies. While ICIs have shown high anti-cancer efficacy, they also have characteristic side effects, termed immune-related adverse events (irAEs). These side effects hinder the therapeutic potential of ICIs and, therefore, finding ways to prevent and treat them is of paramount importance. The current protocols to manage irAEs follow an empirical route of steroid administration and, in more severe cases, ICI withdrawal. However, this approach is not optimal in many cases, as there are often steroid-refractory irAEs, and there is a potential for corticosteroid use to promote tumour progression. This review surveys the current alternative approaches to the treatments for irAEs, with the goal of summarizing and highlighting the best attempts to treat irAEs, without compromising anti-tumour immunity and allowing for rechallenge with ICIs after resolution of the irAEs.