Cancer immunotherapy is a type of treatment that restores and stimulates human immune system to inhibit cancer growth or eradicate cancer. It serves as one of the latest systemic therapies, which has been approved to treat different types of cancer in patients. Nevertheless, the clinical response rate is unsatisfactory and the response observed is mostly a partial response in patients. Despite the continuous improvement and identification of novel cancer immunotherapy, there is a pressing need to establish a robust platform to evaluate the efficacy and safety of pre-clinical drugs, simulate the interaction between patients’ tumor and immune system, and predict patients’ responses to the treatment. In this review, we summarize the pros and cons of existing immuno-oncology assay platforms, especially the humanized mouse models for the screening of cancer immunotherapy drugs. In addition, various emerging trends and progress of utilizing humanized mouse models as the screening tool are discussed. Of note, humanized mouse models can also be used for further development of personalized precision medicines to treat cancer. Collectively, these highlight the significance of humanized mouse models as the important platform for the screening of next generation cancer immunotherapy in vivo.