Cancer has been a serious health hazard to the people all over the world with its high incidence and horrible mortality. In recent years, tumor vaccines in immunotherapy have become a hotspot in cancer therapy due to their many practical advantages and good therapeutic potentials. Among the various vaccines, nanovaccine utilized nanoparticles (NPs) as the carrier and/or adjuvant has presented significant therapeutic effect in cancer treatment. For tumor nanovaccines, unmethylated cytosine-phosphate-guanine oligodeoxynucleotide (CpG ODN) is a commonly used adjuvant. It has been reported that CpG ODN was the most effective immune stimulant among the currently known adjuvants. It could be recognized by toll-like receptor 9 (TLR9) to activate humoral and cellular immunity for preventing or treating cancer. In this review, the topic of CpG-based nanovaccines for cancer immunotherapy will be focused. The types and properties of different CpG will be introduced in detail first, and then some representative tumor nanovaccines will be reviewed according to the diverse loading modes of CpG, such as electrostatic adsorption, covalent bonding, hydrophilic and hydrophobic interaction, and DNA self-assembly, for summarizing the current progress of CpG-based tumor nanovaccines. Finally, the challenges and future perspectives will be discussed. It is hoped that this review will provide valuable references for the development of nanovaccines in cancer immunotherapy.