The interplay between cancer genetic aberrations and external microenvironmental cues is the basis of tumorigenic growth and metastasis. Despite extensive research, the internal heterogeneity of tumours presents enormous challenges and limits our ability to achieve complete therapeutic responses. Although tumour heterogeneity has been thoroughly investigated at the genomic and transcriptomic levels, limited studies have investigated heterogeneity at the proteomic level. We study tumor heterogeneity using cutting-edge mass spectrometry-based proteomics of cancer clinical samples, and investigate the relation between the cancer cells and the immune system within the tumor microenvironment. We develop novel single cell proteomic approaches, and combine them with tumor analyses and bioinformatics to characterize the cellular interactions within the tumor microenvironment, and how these interactions associate with response to immunotherapy. We further investigate the association between the proteomic level and the genomic and transcriptomic levels aiming to elucidate gene-expression regulatory mechanisms and the functional proteomic output of cancer somatic mutations.