Tumor heterogeneity, the cellular mosaic of multiple lineages arising from the process of clonal evolution, has continued to thwart multi-omics analyses using traditional bulk sequencing methods. The application of single-cell sequencing, in concert with existing genomics methods, has enabled high-resolution interrogation of the genome, transcriptome, epigenome, and proteome. Applied to cancers, these single-cell multi-omics methods bypass previous limitations on data resolution and have enabled a more nuanced understanding of the evolutionary dynamics of tumor progression, immune evasion, metastasis, and treatment resistance. This review details the growing number of novel single-cell multi-omics methods applied to tumors and further discusses recent discoveries emerging from these approaches, especially in regard to immunotherapy.