Advancements in molecular characterization technologies have accelerated targeted cancer therapy research at unprecedented resolution and dimensionality. Integrating comprehensive multi-omic molecular profiling of a tumor, proteogenomics, marks a transformative milestone for preclinical cancer research. In this paper, we initially provided an overview of proteogenomics in cancer research, spanning genomics, transcriptomics, and proteomics. Subsequently, the applications were introduced and examined from different perspectives, including but not limited to genetic alterations, molecular quantifications, single-cell patterns, different post-translational modification levels, subtype signatures, and immune landscape. We also paid attention to the combined multi-omics data analysis and pan-cancer analysis. This paper highlights the crucial role of proteogenomics in preclinical targeted cancer therapy research, including but not limited to elucidating the mechanisms of tumorigenesis, discovering effective therapeutic targets and promising biomarkers, and developing subtype-specific therapies.