Cancer immunotherapy has achieved remarkable clinical efficacy through recent advances such as chimeric antigen receptor-T cell (CAR-T) therapy, immune checkpoint blockade (ICB) therapy, and neoantigen vaccines. However, application of immunotherapy in a clinical setting has been limited by low durable response rates and immune-related adverse events. The rapid development of nano-/microtechnologies in the past decade provides potential strategies to improve cancer immunotherapy. Advances of nano-/microparticles such as virus-like size, high surface to volume ratio, and modifiable surfaces for precise targeting of specific cell types can be exploited in the design of cancer vaccines and delivery of immunomodulators. Here, the emerging nano-/microapproaches in the field of cancer vaccines, immune checkpoint blockade, and adoptive or indirect immunotherapies are summarized. How nano-/microparticles improve the efficacy of these therapies, relevant immunological mechanisms, and how nano-/microparticle methods are able to accelerate the clinical translation of cancer immunotherapy are explored.