The advent of immunotherapy has undoubtedly changed the current standard for cancer treatment. Immunotherapy offers the possibility of achieving excellent results—a new alternative for patients with advanced-stage or relapsed disease. Nowadays, the progress made in tumour biology has led to multiple advances in clinical and translational cancer research. Many oncogenic pathways responsible for tumour growth and metastases have been described and, consequently, multiple new cancer therapeutic agents have been developed and are under current investigation. Due to this rapid increase in knowledge and pharmaceutical development, traditional clinical trials designs have encountered major limitations. The pharmacological differences (in toxicity profiles and effectiveness patterns) between immunotherapy and chemotherapy have caused traditional clinical trials to evolve in order to meet this emerging need. This review focuses on the different options pertaining to clinical trial design that have arisen in the field of immuno-oncology, as well as the challenges of accurately interpreting traditional survival analyses within this novel area of cancer medicine.