Immuno-oncology (I/O) research has intensified significantly in recent years due to the breakthrough development and the regulatory approval of several immune checkpoint inhibitors, leading to the rapid expansion of the new discovery of novel I/O therapies, new checkpoint inhibitors and beyond. However, many I/O questions remain unanswered, including why only certain subsets of patients respond to these treatments, who the responders would be, and how to expand patient response (the conversion of non-responders or maximizing response in partial responders). All of these require relevant I/O experimental systems, particularly relevant preclinical animal models. Compared to other oncology drug discovery, e.g. cytotoxic and targeted drugs, a lack of relevant animal models is a major obstacle in I/O drug discovery, and an urgent and unmet need. Despite the obvious importance, and the fact that much I/O research has been performed using many different animal models, there are few comprehensive and introductory reviews on this topic. This article attempts to review the efforts in development of a variety of such models, as well as their applications and limitations for readers new to the field, particularly those in the pharmaceutical industry.