Immunotherapy has revolutionized cancer treatment, however, not all tumor types and patients are completely responsive to this approach. Establishing predictive pre-clinical models would allow for more accurate and practical immunotherapeutic drug development. Mouse models are extensively used as in vivo system for biomedical research. However, due to the significant differences between rodents and human, it is impossible to translate most of the findings from mouse models to human. Pharmacological development and advancing personalized medicine using patient-derived xenografts relies on producing mouse models in which murine cells and genes are substituted with their human equivalent. Humanized mice (HM) provide a suitable platform to evaluate xenograft growth in the context of a human immune system. In this review, we discussed recent advances in the generation and application of HM models. We also reviewed new insights into the basic mechanisms, pre-clinical evaluation of onco-immunotherapies, current limitations in the application of these models as well as available improvement strategies. Finally, we pointed out some issues for future studies.