Modern cancer immunotherapy has revolutionised oncology and carries the potential to radically change the approach to cancer treatment. However, numerous questions remain to be answered to understand immunotherapy response better and further improve the benefit for future cancer patients. Computational models are promising tools that can contribute to accelerated immunotherapy research by providing new clues and hypotheses that could be tested in future trials, based on preceding simulations in addition to the empirical rationale. In this topical review, we briefly summarise the history of cancer immunotherapy, including computational modelling of traditional cancer immunotherapy, and comprehensively review computational models of modern cancer immunotherapy, such as immune checkpoint inhibitors (as monotherapy and combination treatment), co-stimulatory agonistic antibodies, bispecific antibodies, and chimeric antigen receptor T cells. The modelling approaches are classified into one of the following categories: data-driven top-down vs mechanistic bottom-up, simplistic vs detailed, continuous vs discrete, and hybrid. Several common modelling approaches are summarised, such as pharmacokinetic/pharmacodynamic models, Lotka-Volterra models, evolutionary game theory models, quantitative systems pharmacology models, spatio-temporal models, agent-based models, and logic-based models. Pros and cons of each modelling approach are critically discussed, particularly with the focus on the potential for successful translation into immuno-oncology research and routine clinical practice. Specific attention is paid to calibration and validation of each model, which is a necessary prerequisite for any successful model, and at the same time, one of the main obstacles. Lastly, we provide guidelines and suggestions for the future development of the field.