Independent of tumor type and non-invasive or minimally-invasive feature, current physical treatments including ultrasound therapy, microwave ablation (MWA), and radiofrequency ablation (RFA) are widely used as the local treatment methods in clinics for directly killing tumors and activating systematic immune responses. However, the activated immune responses are inadequate and incompetent for tumor recession, and the incomplete thermal ablation even aggravates the immunosuppressive tumor microenvironment (ITM), resulting in the intractable tumor recurrence and metastasis. Intriguingly, nanomedicine provides a powerful platform as they can elevate energy utilization efficiency and augment oncolytic effects for mitigating ITM and potentiating the systematic immune responses. Especially after combining with clinical immunotherapy, the anti-tumor killing effect by activating or enhancing the human anti-tumor immune system is reached, enabling the effective prevention against tumor recurrence and metastasis. This review systematically introduces the cutting-edge progress and direction of nanobiotechnologies and their corresponding nanomaterials. Moreover, the enhanced physical treatment efficiency against tumor progression, relapse, and metastasis via activating or potentiating the autologous immunity or combining with exogenous immunotherapeutic agents is exemplified, and their rationales are analyzed. This review offers general guidance or directions to enhance clinical physical treatment from the perspectives of immunity activation or magnification.