Immunoconjugates are promising molecules combining antibodies with different agents, such as toxins, drugs, radionuclides, or cytokines that primarily aim to target tumor cells. However, tumor microenvironment (TME), which comprises a complex network of various cells and molecular cues guiding tumor growth and progression, remains a major challenge for effective cancer therapy. Our review underscores the pivotal role of TME in cancer therapy with immunoconjugates, examining the intricate interactions with TME and recent advancements in TME-targeted immunoconjugates. We explore strategies for targeting TME components, utilizing diverse antibodies such as neutralizing, immunomodulatory, immune checkpoint inhibitors, immunostimulatory, and bispecific antibodies. Additionally, we discuss different immunoconjugates, elucidating their mechanisms of action, advantages, limitations, and applications in cancer immunotherapy. Furthermore, we highlight emerging technologies enhancing the safety and efficacy of immunoconjugates, such as antibody engineering, combination therapies, and nanotechnology. Finally, we summarize current advancements, perspectives, and future developments of TME-targeted immunoconjugates.