The remarkable success of cancer therapies with immune checkpoint blockers is revolutionizing oncology and has sparked intensive basic and translational research into the mechanisms of cancer–immune cell interactions. In parallel, numerous novel cutting-edge technologies for comprehensive molecular and cellular characterization of cancer immunity have been developed, including single-cell sequencing, mass cytometry and multiplexed spatial cellular phenotyping. In order to process, analyse and visualize multidimensional data sets generated by these technologies, computational methods and software tools are required. Here, we review computational tools for interrogating cancer immunity, discuss advantages and limitations of the various methods and provide guidelines to assist in method selection.