Immune checkpoint inhibitors (ICIs) have shown remarkable success in cancer treatment. However, in cancer patients without sufficient antitumor immunity, numerous data indicate that blocking the negative signals elicited by immune checkpoints is ineffective. Drugs that stimulate immune activation‐related pathways are emerging as another route for improving immunotherapy. In addition, the development of nanotechnology presents a promising platform for tissue and cell type‐specific delivery and improved uptake of immunomodulatory agents, ultimately leading to enhanced cancer immunotherapy and reduced side effects. In this review, we summarize and discuss the latest developments in nanoparticles (NPs) for cancer immuno‐oncology therapy with a focus on lipid‐based NPs (lipid‐NPs), including the characteristics and advantages of various types. Using the agonists targeting stimulation of the interferon genes (STING) transmembrane protein as an exemplar, we review the potential of various lipid‐NPs to augment STING agonist therapy. Furthermore, we present recent findings and underlying mechanisms on how STING pathway activation fosters antitumor immunity and regulates the tumor microenvironment and provide a summary of the distinct STING agonists in preclinical studies and clinical trials. Ultimately, we conduct a critical assessment of the obstacles and future directions in the utilization of lipid‐NPs to enhance cancer immunotherapy.