Predicting the response of cancer cell lines to specific drugs is one of the central problems in personalized medicine, where the cell lines show diverse characteristics. Researchers have developed a variety of computational methods to discover associations between drugs and cell lines, and improved drug sensitivity analyses by integrating heterogeneous biological data. However, choosing informative data sources and methods that can incorporate multiple sources efficiently is the challenging part of successful analysis in personalized medicine. The reason is that finding decisive factors of cancer and developing methods that can overcome the problems of integrating data, such as differences in data structures and data complexities, are difficult. In this review, we summarize recent advances in data integration-based machine learning for drug response prediction, by categorizing methods as matrix factorization-based, kernel-based and network-based methods. We also present a short description of relevant databases used as a benchmark in drug response prediction analyses, followed by providing a brief discussion of challenges faced in integrating and interpreting data from multiple sources. Finally, we address the advantages of combining multiple heterogeneous data sources on drug sensitivity analysis by showing an experimental comparison.