Skin cancers, especially melanomas, present a formidable diagnostic and therapeutic challenge to the scientific community. Currently, the incidence of melanomas shows a high increase worldwide. Traditional therapeutics are limited to stalling or reversing malignant proliferation, increased metastasis, or rapid recurrence. Nonetheless, the advent of immunotherapy has led to a paradigm shift in treating skin cancers. Many state-of-art immunotherapeutic techniques, namely, active vaccination, chimeric antigen receptors, adoptive T-cell transfer, and immune checkpoint blockers, have achieved a considerable increase in survival rates. Despite its promising outcomes, current immunotherapy is still limited in its efficacy. Newer modalities are now being explored, and significant progress is made by integrating cancer immunotherapy with modular nanotechnology platforms to enhance its therapeutic efficacy and diagnostics. Research on targeting skin cancers with nanomaterial-based techniques has been much more recent than other cancers. Current investigations using nanomaterial-mediated targeting of nonmelanoma and melanoma cancers are directed at augmenting drug delivery and immunomodulation of skin cancers to induce a robust anticancer response and minimize toxic effects. Many novel nanomaterial formulations are being discovered, and clinical trials are underway to explore their efficacy in targeting skin cancers through functionalization or drug encapsulation. The focus of this review rivets on theranostic nanomaterials that can modulate immune mechanisms toward protective, therapeutic, or diagnostic approaches for skin cancers. The recent breakthroughs in nanomaterial-based immunotherapeutic modulation of skin cancer types and diagnostic potentials in personalized immunotherapies are discussed.