Immunotherapy, particularly immune checkpoint blockade and chimeric antigen receptor (CAR)-T cells, holds a great promise against cancer. These treatments have markedly improved survival in solid as well as in hematologic tumors previously considered incurable. However, durable responses occur in a fraction of patients, and existing biomarkers (e.g. PD-L1) have shown limited prediction power. This scenario highlights the need to dissect the complex interplay between immune and tumor cells to identify reliable biomarkers of response to be used for patients' selection. In this context, systems immunology represents indeed the new frontier to address important clinical challenges in biomarker discovery. Through the integration of multiple layers of data obtained with several high-throughput approaches, systems immunology may give insights on the vast range of inter-individual differences and on the influences of genes and factors that cooperatively shape the individual immune response to a given treatment. In this Mini Review, we give an overview of the current high-throughput methodologies, including genomics, epigenomics, transcriptomics, metabolomics, proteomics, and multi-parametric phenotyping suitable for systems immunology as well as on the key steps of data integration and biological interpretation. Additionally, we review recent studies in which multi-omics technologies have been used to characterize mechanisms of response and to identify powerful biomarkers of response to checkpoint inhibitors, CAR-T cell therapy, dendritic cell-based and peptide-based cancer vaccines. We also highlight the need of favoring the collaboration of researchers with complementary expertise and of integrating multi-omics data into biological networks with the final goal of developing accurate markers of therapeutic response.