Genomic analyses in cancer have been enormously impactful, leading to the identification of driver mutations and development of targeted therapies. But the functions of the vast majority of somatic mutations and copy number variants in tumours remain unknown, and the causes of resistance to targeted therapies and methods to overcome them are poorly defined. Recent improvements in mass spectrometry-based proteomics now enable direct examination of the consequences of genomic aberrations, providing deep and quantitative characterization of tumour tissues. Integration of proteins and their post-translational modifications with genomic, epigenomic and transcriptomic data constitutes the new field of proteogenomics, and is already leading to new biological and diagnostic knowledge with the potential to improve our understanding of malignant transformation and therapeutic outcomes. In this Review we describe recent developments in proteogenomics and key findings from the proteogenomic analysis of a wide range of cancers. Considerations relevant to the selection and use of samples for proteogenomics and the current technologies used to generate, analyse and integrate proteomic with genomic data are described. Applications of proteogenomics in translational studies and immuno-oncology are rapidly emerging, and the prospect for their full integration into therapeutic trials and clinical care seems bright.