Although notable progress has been made on novel cancer treatments, the overall survival rate and therapeutic effects are still unsatisfactory for cancer patients. Chemoimmunotherapy, combining chemotherapeutics and immunotherapeutic drugs, has emerged as a promising approach for cancer treatment, with the advantages of cooperating two kinds of treatment mechanism, reducing the dosage of the drug and enhancing therapeutic effect. Moreover, nano-based drug delivery system (NDDS) was applied to encapsulate chemotherapeutic agents and exhibited outstanding properties such as targeted delivery, tumor microenvironment response and site-specific release. Several nanocarriers have been approved in clinical cancer chemotherapy and showed significant improvement in therapeutic efficiency compared with traditional formulations, such as liposomes (Doxil®, Lipusu®), nanoparticles (Abraxane®) and micelles (Genexol-PM®). The applications of NDDS to chemoimmunotherapy would be a powerful strategy for future cancer treatment, which could greatly enhance the therapeutic efficacy, reduce the side effects and optimize the clinical outcomes of cancer patients. Herein, the current approaches of cancer immunotherapy and chemoimmunotherapy were discussed, and recent advances of NDDS applied for chemoimmunotherapy were further reviewed.