Immune checkpoint inhibitors (ICIs) have been widely utilized in the first-line therapy of various types of cancer. However, immune-related adverse events (irAEs) and resistance to ICIs remain intractable challenges for immune checkpoint blockade (ICB) therapy during clinic treatment. Nano drug delivery systems (NDDSs) have shown promising potential to improve anticancer efficacy and reduce side effects of small molecular drugs. The combination of nanotechnology and ICB provides new opportunities to overcome the challenges of immunotherapy. Nanoplatforms have been employed for direct delivery of ICIs, and they are preferred vehicles for combination therapy of ICIs and other therapeutic agents. In this review, the strategies of using NDDSs for advancing ICB therapy in recent years are surveyed, emphasizing the employment of NDDSs for combination treatment by ICIs and other agents to manipulate antitumor immunity. Analysis of current strategies for applying NDDSs for ICB leads to future research directions and development trends.