The tumor microenvironment (TME), which is mostly composed of tumor cells, immune cells, signaling molecules, stromal tissue, and the vascular system, is an integrated system that is conducive to the formation of tumors. TME heterogeneity makes the response to immunotherapy different in different tumors, such as "immune-cold" and "immune-hot" tumors. Tumor-associated macrophages, myeloid-derived suppressor cells, and regulatory T cells are the major suppressive immune cells and their different phenotypes interact and influence cancer cells by secreting different signaling factors, thus playing a key role in the formation of the TME as well as in the initiation, growth, and metastasis of cancer cells. Nanotechnology development has facilitated overcoming the obstacles that limit the further development of conventional immunotherapy, such as toxic side effects and lack of targeting. In this review, we focus on the role of three major suppressive immune cells in the TME as well as in tumor development, clinical trials of different drugs targeting immune cells, and different attempts to combine drugs with nanomaterials. The aim is to reveal the relationship between immunotherapy, immunosuppressive TME and nanomedicine, thus laying the foundation for further development of immunotherapy.