The immune system is involved in the initiation and progression of cancer. Research on cancer and immunity has contributed to the development of several clinically successful immunotherapies. These immunotherapies often act on a single step of the cancer-immunity cycle. In recent years, the discovery of new nanomaterials has dramatically expanded the functions and potential applications of nanomaterials. In addition to acting as drug-delivery platforms, some nanomaterials can induce the immunogenic cell death (ICD) of cancer cells or regulate the profile and strength of the immune response as immunomodulators. Based on their versatility, nanomaterials may serve as an integrated platform for multiple drugs or therapeutic strategies, simultaneously targeting several steps of the cancer-immunity cycle to enhance the outcome of anticancer immune response. To illustrate the critical roles of nanomaterials in cancer immunotherapies based on cancer-immunity cycle, this review will comprehensively describe the crosstalk between the immune system and cancer, and the current applications of nanomaterials, including drug carriers, ICD inducers, and immunomodulators. Moreover, this review will provide a detailed discussion of the knowledge regarding developing combinational cancer immunotherapies based on the cancer-immunity cycle, hoping to maximize the efficacy of these treatments assisted by nanomaterials.