Cancer immunotherapy is poised to be one of the major modalities for cancer treatment. Messenger RNA (mRNA) has emerged as a versatile and promising platform for the development of effective cancer immunotherapy. Delivery systems for mRNA therapeutics are pivotal for their optimal therapeutic efficacy and minimal adverse side effects. Lipid nanoparticles (LNPs) have demonstrated a great success for mRNA delivery. Numerous LNPs have been designed and optimized to enhance mRNA stability, facilitate transfection, and ensure intracellular delivery for subsequent processing. Nevertheless, challenges remain to, for example, improve the efficiency of endosomal escape and passive targeting. This review highlights key advancements in the development of mRNA LNPs for cancer immunotherapy. We delve into the design of LNPs for mRNA delivery, encompassing the chemical structures, characterization, and structure-activity relationships (SAR) of LNP compositions. We discuss the key factors influencing the transfection efficiency, passive targeting, and tropism of mRNA-loaded LNPs. We also review the preclinical and clinical applications of mRNA LNPs in cancer immunotherapy. This review can enhance our understanding in the design and application of LNPs for mRNA delivery in cancer immunotherapy.