Cytokine therapy for cancer has indicated efficacy in certain diseases but is generally accompanied by severe toxicity. The field of antibody–cytokine fusion proteins (immunocytokines) arose to target these effector molecules to the tumor environment in order to expand the therapeutic window of cytokine therapy. Pre-clinical evidence has shown the increased efficacy and decreased toxicity of various immunocytokines when compared to their cognate unconjugated cytokine. These anti-tumor properties are markedly enhanced when combined with other treatments such as chemotherapy, radiotherapy, and checkpoint inhibitor antibodies. Clinical trials that have continued to explore the potential of these biologics for cancer therapy have been conducted. This review covers the in vitro, in vivo, and clinical evidence for the application of immunocytokines in immuno-oncology.