The immune system provides our defense against pathogens and aberrant cells, including tumorigenic and infected cells. Motility is one of the fundamental characteristics that enable immune cells to find invading pathogens, control tissue damage, and eliminate primary developing tumors, even in the absence of external treatments. These processes are termed “immune surveillance.” Migration disorders of immune cells are related to autoimmune diseases, chronic inflammation, and tumor evasion. It is therefore essential to characterize immune cell motility in different physiologically and pathologically relevant scenarios to understand the regulatory mechanisms of functionality of immune responses. This review is focused on immune cell migration, to define the underlying mechanisms and the corresponding investigative approaches. We highlight the challenges that immune cells encounter in vivo, and the microfabrication methods to mimic particular aspects of their microenvironment. We discuss the advantages and disadvantages of the proposed tools, and provide information on how to access them. Furthermore, we summarize the directional cues that regulate individual immune cell migration, and discuss the behavior of immune cells in a complex environment composed of multiple directional cues.