Cancer immunotherapy has shown promising therapeutic results in the clinic, albeit only in a limited number of cancer types, and its efficacy remains less than satisfactory. Nanoparticle-based approaches have been shown to increase the response to immunotherapies to address this limitation. In particular, magnetic nanoparticles (MNPs) as a powerful manipulator are an appealing option for comprehensively regulating the immune system in vivo due to their unique magnetically responsive properties and high biocompatibility. This review focuses on assessing the potential applications of MNPs in enhancing tumor accumulation of immunotherapeutic agents and immunogenicity, improving immune cell infiltration, and creating an immunotherapy-sensitive environment. We summarize recent progress in the application of MNP-based manipulators to augment the efficacy of immunotherapy, by MNPs and their multiple magnetically responsive effects under different types of external magnetic field. Furthermore, we highlight the mechanisms underlying the promotion of antitumor immunity, including magnetically actuated delivery and controlled release of immunotherapeutic agents, tracking and visualization of immune response in real time, and magnetic regulation of innate/adaptive immune cells. Finally, we consider perspectives and challenges in MNP-based immunotherapy.