As the fourth most important cancer management strategy except surgery, chemotherapy and radiotherapy, cancer immunotherapy has been confirmed to elicit durable antitumor effects in the clinic by leveraging the patient's own immune system to eradicate the cancer cells. However, the limited population of patients who benefit from the current immunotherapies and the immune related adverse events hinder its development. The immunosuppressive microenvironment is the main cause of the failure, which leads to cancer immune evasion and immunity cycle blockade. Encouragingly, nanotechnology has been engineered to enhance the efficacy and reduce off-target toxicity of their therapeutic cargos by spatiotemporally controlling the biodistribution and release kinetics. Among them, lipid-based nanoparticles are the first nanomedicines to make clinical translation, which are now established platforms for diverse areas. In this perspective, we discuss the available lipid-based nanoparticles in research and market here, then describe their application in cancer immunotherapy, with special emphasis on the T cells-activated and macrophages-targeted delivery system. Through perpetuating each step of cancer immunity cycle, lipid-based nanoparticles can reduce immunosuppression and promote drug delivery to trigger robust antitumor response.