Despite the fact that numerous immunotherapy-based drugs have been approved by the FDA for the treatment of primary and metastatic tumors, only a small proportion of the population can benefit from them because of primary and acquired resistances. Moreover, the translation of immunotherapy from the bench to the clinical practice is being challenging because of the short half-lives of the involved molecules, the difficulties to accomplish their delivery to the target sites, and some serious adverse effects that are being associated with these approaches. The emergence of drug delivery vehicles in the field of immunotherapy is helping to overcome these difficulties and limitations and this review describes how, providing some illustrative examples. Moreover, this article provides an exhaustive review of the studies that have been published to date on the particular case of hematological cancers. (Created with BioRender).