Gastrointestinal cancer (GIC) is the most common cancer with a poor prognosis. Currently, surgery is the main treatment for GIC. However, the high rate of postoperative recurrence leads to a low five-year survival rate. In recent years, immunotherapy has received much attention. As the only immunotherapy drugs approved by the Food and Drug Administration (FDA), immune checkpoint blockade (ICB) drugs have great potential in cancer therapy. Nevertheless, the efficacy of ICB treatment is greatly limited by the low immunogenicity and immunosuppressive microenvironment of GIC. Therefore, the targets of immunotherapy have expanded from ICB to increasing tumor immunogenicity, increasing the recruitment and maturation of immune cells and reducing the proportion of inhibitory immune cells, such as M2-like macrophages, regulatory T cells and myeloid-derived suppressor cells. Moreover, with the development of nanotechnology, a variety of nanoparticles have been approved by the FDA for clinical therapy, so novel nanodrug delivery systems have become a research focus for anticancer therapy. In this review, we summarize recent advances in the application of immunotherapy-based nanoparticles in GICs, such as gastric cancer, hepatocellular carcinoma, colorectal cancer and pancreatic cancer, and described the existing challenges and future trends.