Establishing an appropriate xenograft model is critical for cancer research. To date, the most commonly used xenograft model is the cancer cell line-based xenograft (CDX) model, in which tumor cells subcultured in vitro are transplanted into immunodeficient mice to form xenografts. Although this model is simple to establish and has a short modeling period, it cannot fully represent clinical cancer patients. Therefore, the patient-derived tumor xenograft (PDX) model that stably retains tumor heterogeneity has started to replace the CDX model in many applications. The PDX model develops tumors by directly implanting patient tissue or primary cells into immunodeficient mice in a manner that preserves the histopathology, molecular features, and drug responsiveness of the parental tumor. It can be used as a preclinical model and has significant advantages in drug screening, biomarker development, and combined clinical trials. In this review, we introduce the establishment method and application of the PDX model in detail, and summarize the problems that may be encountered in the process of model establishment and preclinical research.