Nanomaterial-synergized photodynamic therapy (PDT) and photothermal therapy (PTT), as efficient and non-invasive treatment modalities, have shown significant advantages in fighting different types of cancer. However, neither PTT nor PDT can completely eradicate tumors due to distant metastasis and recurrence of tumors. Recently, photo-immunotherapy have attracted great attention as phototherapy has been reported to participate in immunotherapy by triggering immunogenic cell death (ICD), resulting in the secretion of tumor specific antigen (TSAs) and damage-associated molecular patterns (DAMPs). In particular, emerging interests are biased towards manipulating nanomaterials to form unique drug delivery systems, which are necessary for the combination of phototherapy and immunotherapy to eliminate metastatic tumor cells by promoting the maturation of dendritic cells (DCs) and the infiltration of cytotoxic T lymphocytes (CTLs). This review elaborates on the latest strategies on engineering nanomaterials to enhance the anti-cancer efficiency of synergistic photo-immunotherapy, with emphasis on the activation of anti-tumor immune response, the reversal of tumor immunosuppressive microenvironment (TIME), the regulation of the interaction between immunosuppressive cells and tumor cells, the infiltration of immune cells and improved efficiency of photo-immunotherapy-induced ICD. Current challenges and future opportunities in engineering nanomaterials to modulate synergistic photo-immunotherapy are also discussed.