Combined PD-1 and CTLA-4-targeted immunotherapy with nivolumab and ipilimumab is effective against melanoma, renal cell carcinoma and non-small-cell lung cancer^{, –}. However, this comes at the cost of frequent, serious immune-related adverse events, necessitating a reduction in the recommended dose of ipilimumab that is given to patients. In mice, co-treatment with surrogate anti-PD-1 and anti-CTLA-4 monoclonal antibodies is effective in transplantable cancer models, but also exacerbates autoimmune colitis. Here we show that treating mice with clinically available TNF inhibitors concomitantly with combined CTLA-4 and PD-1 immunotherapy ameliorates colitis and, in addition, improves anti-tumour efficacy. Notably, TNF is upregulated in the intestine of patients suffering from colitis after dual ipilimumab and nivolumab treatment. We created a model in which Rag2^−/−Il2rg^−/− mice were adoptively transferred with human peripheral blood mononuclear cells, causing graft-versus-host disease that was further exacerbated by ipilimumab and nivolumab treatment. When human colon cancer cells were xenografted into these mice, prophylactic blockade of human TNF improved colitis and hepatitis in xenografted mice, and moreover, immunotherapeutic control of xenografted tumours was retained. Our results provide clinically feasible strategies to dissociate efficacy and toxicity in the use of combined immune checkpoint blockade for cancer immunotherapy.