The tumor immune microenvironment (TIME) encompasses many heterogeneous cell types that engage in extensive crosstalk among the cancer, immune, and stromal components. The spatial organization of these different cell types in TIME could be used as biomarkers for predicting drug responses, prognosis and metastasis. Recently, deep learning approaches have been widely used for digital histopathology images for cancer diagnoses and prognoses. Furthermore, some recent approaches have attempted to integrate spatial and molecular omics data to better characterize the TIME. In this review we focus on machine learning-based digital histopathology image analysis methods for characterizing tumor ecosystem. In this review, we will consider three different scales of histopathological analyses that machine learning can operate within: whole slide image (WSI)-level, region of interest (ROI)-level, and cell-level. We will systematically review the various machine learning methods in these three scales with a focus on cell-level analysis. We will provide a perspective of workflow on generating cell-level training data sets using immunohistochemistry markers to “weakly-label” the cell types. We will describe some common steps in the workflow of preparing the data, as well as some limitations of this approach. Finally, we will discuss future opportunities of integrating molecular omics data with digital histopathology images for characterizing tumor ecosystem.