Cancer immunotherapy is the great breakthrough in cancer treatment as it displayed prolonged progression-free survival over conventional therapies, yet, to date, in only a minority of patients. In order to broad cancer immunotherapy clinical applicability some roadblocks need to be overcome, first among all the lack of preclinical models that faithfully depict the local tumor microenvironment (TME), which is known to dramatically affect disease onset, progression and response to therapy. In this review, we provide the reader with a detailed overview of current 3D models developed to mimick the complexity and the dynamics of the TME, with a focus on understanding why the TME is a major target in anticancer therapy. We highlight the advantages and translational potentials of tumor spheroids, organoids and immune Tumor-on-a-Chip models in disease modeling and therapeutic response, while outlining pending challenges and limitations. Thinking forward, we focus on the possibility to integrate the know-hows of micro-engineers, cancer immunologists, pharmaceutical researchers and bioinformaticians to meet the needs of cancer researchers and clinicians interested in using these platforms with high fidelity for patient-tailored disease modeling and drug discovery.