The function of major histocompatibility complex (MHC) molecules is to bind peptide fragments derived from genomic mutations or pathogens and display them on the cell surface for recognition by cognate T cells to initiate an immune response. In this study, we provide a comprehensive investigation of HLA gene expression in a pan-cancer manner involving 33 cancer types. We utilised gene expression data from several databases and immune checkpoint blockade-treated patient cohorts. We show that MHC expression varies strongly among cancer types and is associated with several genomic and immunological features. While immune cell infiltration was generally higher in tumours with higher HLA gene expression, CD4+ T cells showed significantly different correlations among cancer types, separating them into two clusters. Furthermore, we show that increased HLA gene expression is associated with prolonged survival in the majority of cancer types. Lastly, HLA gene expression is associated with patient response to immune checkpoint blockade, which is especially prominent for HLA class II expression in tumour biopsies taken during treatment. We show that HLA gene expression is an important feature of tumour biology that has significant impact on patient prognosis.