One of the best-established area within multi-omics is proteogenomics, whereby the underpinning technologies are next-generation sequencing (NGS) and mass spectrometry (MS). Proteogenomics has contributed significantly to genome (re)-annotation, whereby novel coding sequences (CDS) are identified and confirmed. By incorporating in-silico translated genome variants in protein database, single amino acid variants (SAAV) and splice proteoforms can be identified and quantified at peptide level. The application of proteogenomics in cancer research potentially enables the identification of patient-specific proteoforms, as well as the association of the efficacy or resistance of cancer therapy to different mutations. Here, we discuss how NGS/TGS data are analyzed and incorporated into the proteogenomic framework. These sequence data mainly originate from whole genome sequencing (WGS), whole exome sequencing (WES) and RNA-Seq. We explain two major strategies for sequence analysis i.e., de novo assembly and reads mapping, followed by construction of customized protein databases using such data. Besides, we also elaborate on the procedures of spectrum to peptide sequence matching in proteogenomics, and the relationship between database size on the false discovery rate (FDR). Finally, we discuss the latest development in proteogenomics-assisted precision oncology and also challenges and opportunities in proteogenomics research.