In recent years, cancer immunotherapy has evolved as an exciting novel strategy for researchers and clinicians worldwide. Immunotherapeutic agents such as immune checkpoint blockers have changed the standard-of-care treatment provided for many tumors. Unfortunately, only a small proportion of patients respond effectively to these checkpoint inhibitors. Moreover, the immunosuppressive pathways for cancer are probably too complicated to achieve optimal outcome with immune checkpoint inhibitors alone. Combining current therapeutic options and immunotherapy-based approaches is being explored as an effective strategy to treat cancer. The use of nanotechnology-based platforms for delivery of immunotherapeutic agents or combination therapy could offer a major advantage over conventional anticancer treatment options. This review highlights the potential role of different nanotechnology-based strategies in improving the efficacy of immune checkpoint blockade therapy.