Immunotherapy provides a new avenue for combating cancer. Current research in anticancer immunotherapy is primary based on T cell-mediated cellular immunity, which can be divided into seven steps and is named the cancer-immunity cycle. Unfortunately, clinical applications of cancer immunotherapies are restricted by inefficient drug delivery, low response rates, and unmanageable adverse reactions. In response to these challenges, the combination of nanotechnology and immunotherapy (nano-immunotherapy) has been extensively studied in recent years. Rational design of advanced nano-immunotherapies requires in-depth consideration of “which” immune step is targeted, “why” it needs to be further enhanced, and “what” nanotechnology can do for immunotherapy. However, the applications and effects of nanotechnology in the cancer-immunity cycle have not been well reviewed. Herein, we summarize the current developments in nano-immunotherapy for each stage of cancer cellular immunity, with special attention on the which, why and what. Furthermore, we summarize the advantages of nanotechnology for combination immunotherapy in two categories: enhanced efficacy and reduced toxicity. Finally, we discuss the challenges of nano-immunotherapy in detail and provide a perspective.