Clinically, multimodal therapies are adopted worldwide for the management of cancer, which continues to be a leading cause of death. In recent years, immunotherapy has firmly established itself as a new paradigm in cancer care that activates the body's immune defense to cope with cancer. Immunotherapy has resulted in significant breakthroughs in the treatment of stubborn tumors, dramatically improving the clinical outcome of cancer patients. Multiple forms of cancer immunotherapy, including immune checkpoint inhibitors (ICIs), adoptive cell therapy and cancer vaccines, have become widely available. However, the effectiveness of these immunotherapies is not much satisfying. Many cancer patients do not respond to immunotherapy, and disease recurrence appears to be unavoidable because of the rapidly evolving resistance. Moreover, immunotherapies can give rise to severe off-target immune-related adverse events. Strategies to remove these hindrances mainly focus on the development of combinatorial therapies or the exploitation of novel immunotherapeutic mediations. Nanomaterials carrying anticancer agents to the target site are considered as practical approaches for cancer treatment. Nanomedicine combined with immunotherapies offers the possibility to potentiate systemic antitumor immunity and to facilitate selective cytotoxicity against cancer cells in an effective and safe manner. A myriad of nano-enabled cancer immunotherapies are currently under clinical investigation. Owing to gaps between preclinical and clinical studies, nano-immunotherapy faces multiple challenges, including the biosafety of nanomaterials and clinical trial design. In this review, we provide an overview of cancer immunotherapy and summarize the evidence indicating how nanomedicine-based approaches increase the efficacy of immunotherapies. We also discuss the key challenges that have emerged in the era of nanotechnology-based cancer immunotherapy. Taken together, combination nano-immunotherapy is drawing increasing attention, and it is anticipated that the combined treatment will achieve the desired success in clinical cancer therapy.