Despite advancements in the development of anticancer medications and therapies, cancer still has the greatest fatality rate due to a dismal prognosis. Traditional cancer therapies include chemotherapy, radiotherapy, and targeted therapy. The conventional treatments have a number of shortcomings, such as a lack of selectivity, non-specific cytotoxicity, suboptimal drug delivery to tumour locations, and multi-drug resistance, which results in a less potent/ineffective therapeutic outcome. Cancer immunotherapy is an emerging and promising strategy to elicit a pronounced immune response against cancer. Immunotherapy stimulates the immune system with cancer-specific antigens or immune checkpoint inhibitors to overcome the immune suppressive tumour microenvironment and kill the cancer cells. However, delivery of the antigen or immune checkpoint inhibitors and activation of the immune response need to circumvent the issues pertaining to short lifetimes and effect times, as well as adverse effects associated with off-targeting, suboptimal, or hyperactivation of the immune system. Additional challenges posed by the tumour suppressive microenvironment are less tumour immunogenicity and the inhibition of effector T cells. The evolution of nanotechnology in recent years has paved the way for improving treatment efficacy by facilitating site-specific and sustained delivery of the therapeutic moiety to elicit a robust immune response. The amenability of nanoparticles towards surface functionalization and tuneable physicochemical properties, size, shape, and surfaces charge have been successfully harnessed for immunotherapy, as well as combination therapy, against cancer. In this review, we have summarized the recent advancements made in choosing different nanomaterial combinations and their modifications made to enable their interaction with different molecular and cellular targets for efficient immunotherapy. This review also highlights recent trends in immunotherapy strategies to be used independently, as well as in combination, for the destruction of cancer cells, as well as prevent metastasis and recurrence.