Cancer immunotherapy appears to be a promising treatment option; however, only a subset of patients with cancer responds favorably to treatment. Locoregional therapy initiates a local antitumor immune response by disrupting immunosuppressive components, releasing immunostimulatory damage-associated molecular patterns, recruiting immune effectors, and remodeling the tumor microenvironment. Many studies have shown that locoregional therapy can produce specific antitumor immunity alone; nevertheless, the effect is relatively weak and transient. Furthermore, increasing research efforts have explored the potential synergy between locoregional therapy and immunotherapy to enhance the long-term systemic antitumor immune effect and improve survival. Therefore, further research is needed into the immunomodulatory effects of locoregional therapy and immunotherapy to augment antitumor effects. This review article summarizes the key components of the tumor microenvironment, discusses the immunomodulatory role of locoregional therapy in the tumor microenvironment, and emphasizes the therapeutic potential of locoregional therapy in combination with immune checkpoint inhibitors.