Immunotherapy that harnesses the power of the immune system to eliminate malignant cells has offered an effective approach for cancer treatment. However, limited patient response rates and potential immune-related adverse events exist as two major issues for cancer immunotherapy. In parallel, a variety of electromagnetic nanomaterials that generate heat and/or reactive oxygen species triggered by electromagnetic energy have been applied for magnetic hyperthermia therapy, sonodynamic therapy, photothermal therapy, photodynamic therapy, and radiotherapy, which have the ability to induce immunogenic cell death. This review summarizes the recent development of electromagnetic nanomedicines in combinational cancer immunotherapy. The mechanisms of electromagnetic nanomedicines in reprogramming the immunosuppressive tumor microenvironment and sensitizing tumors for cancer immunotherapy are highlighted. Furthermore, potential challenges and perspectives of electromagnetic nanomedicines for combinational cancer immunotherapy are discussed.