The success of any given cancer immunotherapy relies on several key factors. In particular, success hinges on the ability to stimulate the immune system in a controlled and precise fashion, select the best treatment options and appropriate therapeutic agents, and use highly effective tools to accurately and efficiently assess the outcome of the immunotherapeutic intervention. Furthermore, a deep understanding and effective utilization of tumor-associated macrophages (TAMs), nanomedicine and biomedical imaging must be harmonized to improve treatment efficacy. Additionally, a keen appreciation of the dynamic interplay that occurs between immune cells and the tumor microenvironment (TME) is also essential. New advances toward the modulation of the immune TME have led to many novel translational research approaches focusing on the targeting of TAMs, enhanced drug and nucleic acid delivery, and the development of theranostic probes and nanoparticles for clinical trials. In this review, we discuss the key cogitations that influence TME, TAM modulations and immunotherapy in solid tumors as well as the methods and resources of tracking the tumor response. The vast array of current nanomedicine technologies can be readily modified to modulate immune function, target specific cell types, deliver therapeutic payloads and be monitored using several different imaging modalities. This allows for the development of more effective treatments, which can be specifically designed for particular types of cancer or on an individual basis. Our current capacities have allowed for greater use of theranostic probes and multimodal imaging strategies that have led to better image contrast, real-time imaging capabilities leveraging targeting moieties, tracer kinetics and enabling more detailed response profiles at the cellular and molecular levels. These novel capabilities along with new discoveries in cancer biology should drive innovation for improved biomarkers for efficient and individualized cancer therapy.