Musculoskeletal sarcomas pose major challenges to researchers and clinicians due to their rarity and heterogeneity. Xenografting human cells or tumor fragments in rodents is a mainstay for the generation of cancer models and for the preclinical trial of novel drugs. Lately, though, technical, intrinsic and ethical concerns together with stricter regulations have significantly curbed the employment of murine patient-derived xenografts (mPDX). In alternatives to murine PDXs, researchers have focused on embryonal systems such as chorioallantoic membrane (CAM) and zebrafish embryos. These systems are time- and cost-effective hosts for tumor fragments and near-patient cells. The CAM of the chick embryo represents a unique vascularized environment to host xenografts with high engraftment rates, allowing for ease of visualization and molecular detection of metastatic cells. Thanks to the transparency of the larvae, zebrafish allow for the tracking of tumor development and metastatization, enabling high-throughput drug screening. This review will focus on xenograft models of musculoskeletal sarcomas to highlight the intrinsic and technically distinctive features of the different hosts, and how they can be exploited to elucidate biological mechanisms beneath the different phases of the tumor's natural history and in drug development. Ultimately, the review suggests the combination of different models as an advantageous approach to boost basic and translational research.