Immuno-oncology (IO) focuses on the ability of the immune system to detect and eliminate cancer cells. Since the approval of the first immune checkpoint inhibitor, immunotherapies have become a major player in oncology treatment and, in 2021, represented the highest number of approved drugs in the field. In spite of this, there is still a fraction of patients that do not respond to these therapies and develop resistance mechanisms. In this sense, mathematical models offer an opportunity to identify predictive biomarkers, optimal dosing schedules and rational combinations to maximize clinical response. This work aims to outline the main therapeutic targets in IO and to provide a description of the different mathematical approaches (top-down, middle-out, and bottom-up) integrating the cancer immunity cycle with immunotherapeutic agents in clinical scenarios. Among the different strategies, middle-out models, which combine both theoretical and evidence-based description of tumor growth and immunological cell-type dynamics, represent an optimal framework to evaluate new IO strategies.