The advances in cancer immunotherapy come with several obstacles, limiting its widespread use and benefits so far only to a small subset of patients. One of the underlying challenges remains to be the lack of representative nonclinical models that translate to human immunity and are able to predict clinical efficacy and safety outcomes. In recent years, immunocompetent Cancer-on-Chip models emerge as an alternative human-based platform that enables the integration and manipulation of complex tumor microenvironment. In this review, we discuss novel opportunities offered by Cancer-on-Chip models to advance (mechanistic) immuno-oncology research, ranging from design flexibility to multimodal analysis approaches. We then exemplify their (potential) applications for the research and development of adoptive cell therapy, immune checkpoint therapy, cytokine therapy, oncolytic virus, and cancer vaccines.