Cancer immunotherapy is a method of controlling and eliminating tumors by reactivating the body's cancer-immunity cycle and restoring its antitumor immune response. The increased availability of data, combined with advancements in high-performance computing and innovative artificial intelligence (AI) technology, has resulted in a rise in the use of AI in oncology research. State-of-the-art AI models for functional classification and prediction in immunotherapy research are increasingly used to support laboratory-based experiments. This review offers a glimpse of the current AI applications in immunotherapy, including neoantigen recognition, antibody design, and prediction of immunotherapy response. Advancing in this direction will result in more robust predictive models for developing better targets, drugs, and treatments, and these advancements will eventually make their way into the clinical setting, pushing AI forward in the field of precision oncology.