Axial spondyloarthritis is a chronic inflammatory rheumatic disease that affects the axial skeleton and causes severe pain and disability. It may be also associated with extra-articular manifestations. Early diagnosis and appropriate treatment can reduce the severity of the disease and the risk of progression. The biological disease-modifying antirheumatic drugs (bDMARDs) tumor necrosis factor alpha (TNFα) inhibitors (TNFi) and the anti-interleukin (IL)-17A antibodies secukinumab and ixekizumab are effective agents to reduce disease activity and minimize the inflammation that damages the joints. New alternatives such as Janus kinase (JAK) inhibitors are also available. Unfortunately, response rates to bDMARDs are far from optimal, and many patients experience so-called treatment failure. The definition of treatment failure definition is often vague and may depend on the rigorousness of the therapeutic goal, the inclusion or not of peripheral symptoms/extra-articular manifestations, or patients' overall health. After an exhaustive bibliographic review, we propose a definition based on loss of the following status: low disease activity assessed by Ankylosing Spondylitis Disease Activity Score (ASDAS)-CRP, absence of extra-articular manifestations, and low disease impact on the patients' general health. Apart from discontinuing the therapy because of safety or intolerance reasons, two types of treatment failure can be differentiated depending on when it occurs: primary failure (no response within 6 months after treatment initiation, or lack of efficacy) and secondary failure (response within 6 months but lost thereafter, or loss of efficacy over time). Physicians should carefully consider the moment and the reason for the treatment failure to decide the next therapeutic step. In the case of primary failure on a first TNFi, it seems reasonable to switch to another class of drugs, i.e., an anti-IL-17 agent, as phase III trials showed that the response to IL-17 blockade was higher than to placebo in patients previously exposed to TNFi. When secondary failure occurs, and loss of efficacy is suspected to be caused by antidrug antibodies (ADAs), it is advisable to analyze serum TNFi and ADAs concentrations, if possible; in the presence of ADAs and low TNFi levels, changing the TNFi is rational as it may restore the TNFα blocking capacity. If ADAs are absent/low with adequate drug therapeutic levels, switching to another target might be the best strategy.