Establishing appropriate preclinical models is essential for cancer research. Evidence suggests that cancer is a highly heterogeneous disease. This follows the growing use of cancer models in cancer research to avoid these differences between xenograft tumor models and patient tumors. In recent years, a patient-derived xenograft (PDX) tumor model has been actively generated and applied, which preserves both cell–cell interactions and the microenvironment of tumors by directly transplanting cancer tissue from tumors into immunodeficient mice. In addition to this, the advent of alternative hosts, such as zebrafish hosts, or in vitro models (organoids and microfluidics), has also facilitated the advancement of cancer research. However, they still have a long way to go before they become reliable models. The development of immunodeficient mice has enabled PDX to become more mature and radiate new vitality. As one of the most reliable and standard preclinical models, the PDX model in immunodeficient mice (PDX-IM) exerts important effects in drug screening, biomarker development, personalized medicine, co-clinical trials, and immunotherapy. Here, we focus on the development procedures and application of PDX-IM in detail, summarize the implications that the evolution of immunodeficient mice has brought to PDX-IM, and cover the key issues in developing PDX-IM in preclinical studies.