Cancer immunotherapy focuses on the use of patients’ adaptive immune systems to combat cancer. In the past decade, FDA has approved many immunotherapy products for cancer patients who suffer from primary tumors, tumor relapse, and metastases. However, these immunotherapies still show resistance in many patients and often lead to inconsistent responses in patients due to variations in tumor genetic mutations and tumor immune microenvironment. Microfluidics‐based organ‐on‐a‐chip technologies or microphysiological systems have opened new ways that can provide relatively fast screening for personalized immunotherapy and help researchers and clinicians understand tumor‐immune interactions in a patient‐specific manner. They also have the potential to overcome the limitations of traditional drug screening and testing, given the models provide a more realistic 3D microenvironment with better controllability, reproducibility, and physiological relevance. This review focuses on the cutting‐edge microphysiological organ‐on‐a‐chip devices developed in recent years for studying cancer immunity and testing cancer immunotherapeutic agents, as well as some of the largest challenges of translating this technology to clinical applications in immunotherapy and personalized medicine.