Immune checkpoint (ICP) molecules expressed on tumor cells can suppress immune responses against tumors. ICP therapy promotes anti-tumor immune responses by targeting inhibitory and stimulatory pathways of immune cells like T cells and dendritic cells (DC). The investigation into the combination therapies through novel immune checkpoint inhibitors (ICIs) has been limited due to immune-related adverse events (irAEs), low response rate, and lack of optimal strategy for combinatorial cancer immunotherapy (IMT). Nanoparticles (NPs) have emerged as powerful tools to promote multidisciplinary cooperation. The feasibility and efficacy of targeted delivery of ICIs using NPs overcome the primary barrier, improve therapeutic efficacy, and provide a rationale for more clinical investigations. Likewise, NPs can conjugate or encapsulate ICIs, including antibodies, RNAs, and small molecule inhibitors. Therefore, combining the drug delivery system (DDS) with ICP therapy could provide a profitable immunotherapeutic strategy for cancer treatment. This article reviews the significant NPs with controlled DDS using current data from clinical and pre-clinical trials on mono- and combination IMT to overcome ICP therapeutic limitations.