With the development of nanosystems, they are gradually utilized to ameliorate diverse cancer therapies. Specifically for immunotherapy, most nanosystems are elaborately designed to initiate the self‐sustaining “cancer immunity cycle (CIC)” to elicit the immune response. However, owing to the highly complex circulatory environment, nanosystems may face issues like nonspecific nanoparticle uptake and rapid clearance, leaving enormous room for advancement. For employing the biomimetic design in nanosystems, biomimetic nanosystems based on cell membranes (BNCMs) inherit various functional molecules from source cells, permitting precise tumor targeting, enhancing blood circulation, and conferring more desired functionality for a more robust immune response. To take full advantage of the BNCMs, understanding their functions in cancer immunotherapy is essential. In this review, the unique properties of BNCMs derived from various cells and main preparation strategies are introduced. Subsequently, the recent advances of BNCMs for improving cancer immunotherapy are discussed from the aspects of their roles in particular stages of the CIC, and the working mechanisms of the outer cell membranes are highlighted. Finally, along with the analysis of existing bottlenecks for clinical translation, some suggestions for the future development of BNCMs are put forward.