The immune system provides the host organism with defense mechanisms against invading pathogens and tumor development and it plays an active role in tissue and organ regeneration. Deviations from the normal physiological functioning of the immune system can lead to the development of diseases with various pathologies including autoimmune diseases and cancer. Modern research in immunology is characterized by an unprecedented level of detail that has progressed towards viewing the immune system as numerous components that function together as a whole network. Currently, we are facing significant difficulties in analyzing the data being generated from high-throughput technologies for understanding immune system dynamics and functions, a problem known as the ‘curse of dimensionality’. As the mainstream research in mathematical immunology is based on low-resolution models, a fundamental question is how complex the mathematical models should be? To respond to this challenging issue, we advocate a hypothesis-driven approach to formulate and apply available mathematical modelling technologies for understanding the complexity of the immune system. Moreover, pure empirical analyses of immune system behavior and the system’s response to external perturbations can only produce a static description of the individual components of the immune system and the interactions between them. Shifting our view of the immune system from a static schematic perception to a dynamic multi-level system is a daunting task. It requires the development of appropriate mathematical methodologies for the holistic and quantitative analysis of multi-level molecular and cellular networks. Their coordinated behavior is dynamically controlled via distributed feedback and feedforward mechanisms which altogether orchestrate immune system functions. The molecular regulatory loops inherent to the immune system that mediate cellular behaviors, e.g. exhaustion, suppression, activation and tuning, can be analyzed using mathematical categories such as multi-stability, switches, ultra-sensitivity, distributed system, graph dynamics, or hierarchical control. GB is supported by the Russian Science Foundation (grant 18-11-00171). AM is also supported by grants from the Spanish Ministry of Economy, Industry and Competitiveness and FEDER grant no. SAF2016-75505-R, the “María de Maeztu” Programme for Units of Excellence in R&D (MDM-2014-0370) and the Russian Science Foundation (grant 18-11-00171).