The clinical development of cytokines as cancer therapeutics has been limited due to significant toxicities generally observed with systemic administration. This narrow therapeutic window, together with relatively modest efficacy, has made natural cytokines unattractive drug candidates. Immunocytokines represent a class of next-generation cytokines designed to overcome the challenges associated with traditional cytokines. These agents seek to improve the therapeutic index of cytokines by using antibodies as vehicles for the targeted delivery of immunomodulatory agents within the local tumor microenvironment (TME). Various molecular formats and cytokine payloads have been studied. In this review, we provide an overview of the rationale, preclinical support, and current clinical development strategies for immunocytokines.