The rapid advancement of tumor immunotherapies poses challenges for the tools used in cancer immunology research, highlighting the need for highly effective biomarkers and reproducible experimental models. Current immunotherapy biomarkers encompass surface protein markers such as PD‐L1, genetic features such as microsatellite instability, tumor‐infiltrating lymphocytes, and biomarkers in liquid biopsy such as circulating tumor DNAs. Experimental models, ranging from 3D in vitro cultures (spheroids, submerged models, air–liquid interface models, organ‐on‐a‐chips) to advanced 3D bioprinting techniques, have emerged as valuable platforms for cancer immunology investigations and immunotherapy biomarker research. By preserving native immune components or coculturing with exogenous immune cells, these models replicate the tumor microenvironment in vitro. Animal models like syngeneic models, genetically engineered models, and patient‐derived xenografts provide opportunities to study in vivo tumor‐immune interactions. Humanized animal models further enable the simulation of the human‐specific tumor microenvironment. Here, we provide a comprehensive overview of the advantages, limitations, and prospects of different biomarkers and experimental models, specifically focusing on the role of biomarkers in predicting immunotherapy outcomes and the ability of experimental models to replicate the tumor microenvironment. By integrating cutting‐edge biomarkers and experimental models, this review serves as a valuable resource for accessing the forefront of cancer immunology investigation.