Almost every successful anticancer treatment has been preceded by preclinical scientific breakthroughs that encouraged clinical development. However, therapeutic strategies showing promising preclinical results often fail to confirm activity in clinical trials, particularly in immunotherapy. There are well-known inherent interspecies differences between human and rodent immunobiology. Moreover, human cancers progressively develop in nature over long periods, while preclinical models are deployed under controlled laboratory conditions. This translates into a suboptimal recapitulation of key features of human cancer, such as the marked interindividual differences, intercellular heterogeneity, and the immunoediting effects of chronic immunosurveillance. This review summarizes the current evidence of preclinical experimental models and research tools for cancer immunotherapy applications, with a focus on the incorporation of human sample-based methodologies, both ex vivo and in vivo using humanized mouse models. Methods to exploit highly valuable human specimens in preclinical research are called to bridge the gap between discovery observations in conventional mouse models and efficacy/safety tests in clinical trials. Novel immunotherapy agents and their combinations can be prioritized based on their effects on in vitro patient-derived tumor culture modalities or on as-perfect-as-feasible humanized mouse models bearing human tumor and immune cells. The ultimate goal is to reliably test immunotherapy interventions and reduce eventual clinical failures by means of preclinically prioritizing the best approaches.