Immunotherapy remains more effective for hematologic tumors than for solid tumors. One of the main challenges to immunotherapy of solid tumors is the immunosuppressive microenvironment these tumors generate, which limits the cytotoxic capabilities of immune effector cells (e.g., cytotoxic T and natural killer cells). This microenvironment is characterized by hypoxia, nutrient starvation, accumulated waste products, and acidic pH. Tumor-hijacked cells, such as fibroblasts, macrophages, and T regulatory cells, also contribute to this inhospitable microenvironment for immune cells by secreting immunosuppressive cytokines that suppress the antitumor immune response and lead to immune evasion. Thus, there is a strong interest in developing new drugs and cell formulations that modulate the tumor microenvironment and reduce tumor cell immune evasion. Microphysiological systems (MPSs) are versatile tools that may accelerate the development and evaluation of these therapies, although specific examples showcasing the potential of MPSs remain rare. Advances in microtechnologies have led to the development of sophisticated microfluidic devices used to recapitulate tumor complexity. The resulting models, also known as microphysiological systems (MPSs), are versatile tools with which to decipher the molecular mechanisms driving immune cell antitumor cytotoxicity, immune cell exhaustion, and immune cell exclusion and to evaluate new targeted immunotherapies. Here, we review existing microphysiological platforms to study immuno-oncological applications and discuss challenges and opportunities in the field.