Cytokines are immune modulators which can enhance the immune response and have been proven to be an effective class of immunotherapy. Nevertheless, the clinical use of cytokines in cancer treatment has faced several challenges associated with poor pharmacokinetic properties and the occurrence of adverse effects. Immunocytokines (ICKs) have emerged as a promising approach to overcome the pharmacological limitations observed with cytokines. ICKs are fusion proteins designed to deliver cytokines in the tumor microenvironment by taking advantage of the stability and specificity of immunoglobulin-based scaffolds. Several technological approaches have been developed. This review focuses on ICKs designed with the most impactful cytokines in the cancer field: IL-2, TNFα, IL-10, IL-12, IL-15, IL-21, IFNγ, GM-CSF, and IFNα. An overview of the pharmacological effects of the naked cytokines and ICKs tested for cancer therapy is detailed. A particular emphasis is given on the immunomodulatory effects of ICKs associated with their technological design. In conclusion, this review highlights active ways of development of ICKs. Their already promising results observed in clinical trials are likely to be improved with the advances in targeting technologies such as cytokine/linker engineering and the design of multispecific antibodies with tumor targeting and immunostimulatory functional properties.