Despite the important role of preclinical experiments to characterize tumor biology and molecular pathways, there are ongoing challenges to model the tumor microenvironment, specifically the dynamic interactions between tumor cells and immune infiltrates. Comprehensive models of host-tumor immune interactions will enhance the development of emerging treatment strategies, such as immunotherapies. Although in vitro and murine models are important for the early modelling of cancer and treatment-response mechanisms, comparative research studies involving veterinary oncology may bridge the translational pathway to human studies. The natural progression of several malignancies in animals exhibits similar pathogenesis to human cancers, and previous studies have shown a relevant and evaluable immune system. Veterinary oncologists working alongside oncologists and cancer researchers have the potential to advance discovery. Understanding the host-tumor-immune interactions can accelerate drug and biomarker discovery in a clinically relevant setting. This review presents discoveries in comparative immuno-oncology and implications to cancer therapy.