The immune system is by definition multi-scale because it involves biochemical networks that regulate cell fates across cell boundaries, but also because immune cells communicate with each other by direct contact or through the secretion of local or systemic signals. Furthermore, tumor and immune cells communicate, and this interaction is affected by the tumor microenvironment. Altogether, the tumor-immunity interaction is a complex multi-scale biological system whose analysis requires a systemic view to succeed in developing efficient immunotherapies for cancer and immune-related diseases. In this review we discuss the necessity and the structure of a systems medicine approach for the design of anticancer immunotherapies. We support the idea that the approach must be a combination of algorithms and methods from bioinformatics and patient-data-driven mathematical models conceived to investigate the role of clinical interventions in the tumor-immunity interaction. For each step of the integrative approach proposed, we review the advancement with respect to the computational tools and methods available, but also successful case studies. We particularized our idea for the case of identifying novel tumor-associated antigens and therapeutic targets by integration of patients immune and tumor profiling in case of aggressive melanoma.