Tumor immunotherapy, compared with other treatment strategies, has the notable advantage of a long-term therapeutic effect for preventing metastasis and the recurrence of tumors, thus holding great potential for the future of advanced tumor therapy. However, due to the poor water solubility of immune modulators and immune escape properties of tumor cells, the treatment efficiency of immunotherapy is usually significantly reduced. Cyclodextrin (CD) has been repeatedly highlighted to be probably one of the most investigated building units for cancer therapy due to its elegant integration of an internal hydrophobic hollow cavity and an external hydrophilic outer surface. The application of CD for immunotherapy provides new opportunities for overcoming the aforementioned obstacles. However, there are few published reviews, to our knowledge, summarizing the use of CD for cancer immunotherapy. For this purpose, this paper provides a comprehensive summary on the application of CD for immunotherapy with an emphasis on the role, function, and reported strategies of CD in mediating immunotherapy. This review summarizes the research progress made in using CD for tumor immunotherapy, which will facilitate the generation of various CD-based immunotherapeutic delivery systems with superior anticancer efficacy.