Iron oxide nanoparticles (IONPs) have transitioned from conventional magnetic resonance imaging (MRI) contrast agents into structurally programmable combined imaging/treatment tools, leveraging their superparamagnetism, catalytic activity, and surface engineering versatility to achieve spatiotemporal control over drug delivery and immune modulation. Advances in nanofabrication now yield size-optimized aggregates with enhanced tumor accumulation through the enhanced permeability and retention (EPR) effect, while clinically approved formulations like ferumoxytol demonstrate intrinsic immunomodulatory functionality, positioning IONPs as pivotal tools for precision oncology. Conversely, cancer immunotherapy remains limited by the immunosuppressive tumor microenvironment (TME), where cellular suppression via M2-polarized macrophages and regulatory T cells (Tregs) synergizes with physical exclusion from dense extracellular matrices and metabolic sabotage through lactate-driven acidosis. These barriers establish "immune-cold" phenotypes characterized by deficient CD8⁺ T-cell infiltration and tertiary lymphoid structure formation, driving checkpoint inhibitor resistance with sub-30% response rates in solid tumors. To overcome these constraints, IONPs orchestrate multimodal immunotherapeutic strategies: they reprogram suppressive niches by polarizing macrophages toward M1 phenotypes, activate STING pathways, and induce immunogenic ferroptosis; enable precision delivery via magnetic lymph node targeting and cancer cell membrane-mediated homologous tumor homing; and facilitate real-time theranostics through MRI/magnetic particle imaging (MPI)-monitored immune cell trafficking. Preclinical validation confirms synergistic efficacy, with combinatorial regimens achieving over 50% complete tumor regression by converting immunologically cold microenvironments into inflamed states. This review systematically explores cutting-edge IONP-based innovations-spanning immune cell engineering, biohybrid systems, and energy-amplified therapies-that bridge localized tumor eradication with systemic antitumor immunity, while critically evaluating translational barriers for clinical implementation.