Cancer immunotherapy, a major breakthrough in cancer treatment, has been successfully applied to treat a number of tumors. However, given the presence of factors in the tumor microenvironment (TME) that impede immunotherapy, only a small proportion of patients achieve a good clinical response. With the ability to increase permeability and cross biological barriers, nanomaterials have been successfully applied to deliver immunotherapeutic agents, thus realizing the anti-cancer therapeutic potential of therapeutic agents. This has driven a wave of research into systems for the delivery of immunotherapeutic agents, which has resulted in widespread interest in nanomaterial-based drug delivery systems. Nanomaterial-based drug delivery systems are able to overcome the challenges from TME and thus achieve good results in cancer immunotherapy. If it can make a breakthrough in improving biocompatibility and reducing cytotoxicity, it will be more widely used in clinical practice. Different types of nanomaterials may also have some subtle differences in enhancing cancer immunotherapy. Moreover, delivery systems made of nanomaterials loaded with drugs, such as cytotoxic drugs, cytokines, and adjuvants, could be used for cancer immunotherapy because they avoid the toxicity and side effects associated with these drugs, thereby enabling their reuse. Therefore, further insights into nanomaterial-based drug delivery systems will provide more effective treatment options for cancer patients.