Abstract: Real-world studies (RWS), which are of several different types, have a wide range of applications that can fully reflect the clinical practice reality. With the development of artificial intelligence and other data analysis methods, more powerful real-world evidence (RWE) can be obtained using various real-world data. In the past few years, the government has strongly supported the development of real-world research. A series of favorable policies for RWS at home and abroad have been promulgated, one after another. Immunotherapy is a powerful tool for medical oncologists in addition to chemotherapy and targeted therapy due to its relatively lesser side effects and the lasting and precise medicine effects. It has been widely used in patients with cancer and enabled clinicians to accumulate considerable experience in the real world. Through RWS, the clinical application of immunotherapy can be clearly described, the efficacy and safety of drugs can be accurately evaluated, the beneficiaries of medicine can be precisely targeted, and better practices can be explored. In this review, we have systematically summarized the progress of immunotherapy in RWS.