Successful oncological drug development for bone and soft tissue sarcoma is grossly stagnating. A major obstacle in this process is the lack of appropriate animal models recapitulating the complexity and heterogeneity of musculoskeletal malignancies, resulting in poor efficiency in translating the findings of basic research to clinical applications. In recent years, patient-derived xenograft (PDX) models generated by directly engrafting patient-derived tumor fragments into immunocompromised mice have recaptured the attention of many researchers due to their properties of retaining the principle histopathology, biological behaviors, and molecular and genetic characteristics of the original tumor, showing promising future in both basic and clinical studies of bone and soft tissue sarcoma. Despite several limitations including low take rate and long take time in PDX generation, deficient immune system and heterologous tumor microenvironment of the host, PDXs offer a more advantageous platform for preclinical drug screening, biomarker identification and clinical therapeutic decision guiding. Here, we provide a timely review of the establishment and applications of PDX models for musculoskeletal malignancies and discuss current challenges and future directions of this approach.