With the rapid development of nanotechnology, carrier-based nano-drug delivery systems (DDSs) have been widely studied due to their advantages in optimizing pharmacokinetic and distribution profiles. However, despite those merits, some carrier-related limitations, such as low drug-loading capacity, systematic toxicity and unclear metabolism, usually prevent their further clinical transformation. Carrier-free nanomedicines with non-therapeutic excipients, are considered as an excellent paradigm to overcome these obstacles, owing to their superiority in improving both drug delivery efficacy and safety concern. In recent years, carrier-free nanomedicines have opened new horizons for cancer immunotherapy, and have already made outstanding progress. Herein, in this review, we are focusing on making an integrated and exhaustive overview of lately reports about them. Firstly, the major synthetic strategies of carrier-free nanomedicines are introduced, such as nanocrystals, prodrug-, amphiphilic drug-drug conjugates (ADDCs)-, polymer-drug conjugates-, and peptide-drug conjugates (PepDCs)-assembled nanomedicines. Afterwards, the typical applications of carrier-free nanomedicines in cancer immunotherapy are well-discussed, including cancer vaccines, cytokine therapy, enhancing T-cell checkpoint inhibition, as well as modulating tumor microenvironment (TME). After that, both the advantages and the potential challenges, as well as the future prospects of carrier-free nanomedicines in cancer immunotherapy, were discussed. And we believe that it would be of great potential practiced and reference value to the relative fields.