In this paper, we are concerned about the qualitative behavior of planar Filippov systems around some typical invariant sets, namely, polycycles. In the smooth context, a polycycle is a simple closed curve composed by a collection of singularities and regular orbits, inducing a first return map. Here, this concept is extended to Filippov systems by allowing typical Filippov singularities lying on the switching manifold. Our main goal consists in developing a method to investigate the unfolding of polycycles in Filippov systems. In addition, we apply this method to describe bifurcation diagrams of Filippov systems around certain polycycles.