Monoclonal antibody (mAb) therapy has successfully been introduced as treatment of several lymphomas and leukemias. However, solid tumors reduce the efficacy of mAb therapy because of an immune-suppressive tumor micro-environment (TME), which hampers activation of effector immune cells. Pro-inflammatory cytokine therapy may counteract immune suppression in the TME and increase mAb efficacy, but untargeted pro-inflammatory cytokine therapy is limited by severe off-target toxicity and a short half-life of cytokines. Antibody-cytokine fusion proteins, also referred to as immunocytokines, provide a solution to either issue, as the antibody both acts as local delivery platform and increases half-life. The antibody can furthermore bridge local cytotoxic immune cells, like macrophages and natural killer cells with tumor cells, which can be eliminated after effector cells are activated via the cytokine. Currently, a variety of different antibody formats as well as a handful of cytokine payloads are used to generate immunocytokines. However, many potential formats and payloads are still left unexplored. In this review, we describe current antibody formats and cytokine moieties that are used for the development of immunocytokines, and highlight several immunocytokines in (pre-)clinical studies. Furthermore, potential future routes of development are proposed.