In the past decade, we have witnessed the revolution in cancer therapy, especially in the rapid development of cancer immunotherapy. In particular, the introduction of nanomedicine has achieved great improvement in breaking the limitations of and immunological tolerance caused by clinic-approved immunotherapies (cancer vaccine, CAR-T, and immune checkpoint blockade) to enhance immunogenicity, antigen presentation and T lymphocyte infiltration for eradicating the primary tumors and distant metastases simultaneously. However, some fundamental but significant issues still need to be thoroughly clarified before the combination of nanomedicine and immunotherapy moves toward clinical translation such as biological safety and synergistic mechanisms of nanomaterials in the systematic immune responses. Therefore, in this review, the role of nanomaterials in cancer immunotherapy is summarized, mainly focusing on the effective activation and long-term stimulation of both the innate and the adaptive immune responses and regulation of or remodeling the tumor microenvironment, especially the tumor immunosuppressive microenvironment. Also, we elaborate on the targets and challenges of nanomaterials in the cancer-immunity cycle, summarize several main strategies to convert the cold tumor immune microenvironment to the hot one, and illustrate the progress in regulation of tumor immune microenvironment by targeting specific immunosuppressive cells. Finally, we prospect the nano-combined immunotherapy strategies in tumor-targeting, normalization of tumor immune environment and modification of macrophages. This article is characterized under: Therapeutic Approaches and Drug Discovery > Emerging Technologies Diagnostic Tools > In Vivo Nanodiagnostics and Imaging Nanotechnology Approaches to Biology > Nanoscale Systems in Biology Therapeutic Approaches and Drug Discovery > Nanomedicine for Oncologic Disease.