Artificial Intelligence is providing astonishing results, with medicine being one of its favourite playgrounds. Machine Learning and, in particular, Deep Neural Networks are behind this revolution. Among the most challenging targets of interest in medicine are cancer diagnosis and therapies but, to start this revolution, software tools need to be adapted to cover the new requirements. In this sense, learning tools are becoming a commodity but, to be able to assist doctors on a daily basis, it is essential to fully understand how models can be interpreted. In this survey, we analyse current machine learning models and other in-silico tools as applied to medicine—specifically, to cancer research—and we discuss their interpretability, performance and the input data they are fed with. Artificial neural networks (ANN), logistic regression (LR) and support vector machines (SVM) have been observed to be the preferred models. In addition, convolutional neural networks (CNNs), supported by the rapid development of graphic processing units (GPUs) and high-performance computing (HPC) infrastructures, are gaining importance when image processing is feasible. However, the interpretability of machine learning predictions so that doctors can understand them, trust them and gain useful insights for the clinical practice is still rarely considered, which is a factor that needs to be improved to enhance doctors’ predictive capacity and achieve individualised therapies in the near future.