Immunotherapy has emerged as an effective strategy for the prevention and treatment of a variety of diseases, including cancer, infectious diseases, inflammatory diseases, and autoimmune diseases. Immunomodulatory nanosystems can readily improve the therapeutic effects and simultaneously overcome many obstacles facing the treatment method, such as inadequate immune stimulation, off‐target side effects, and bioactivity loss of immune agents during circulation. In recent years, researchers have continuously developed nanomaterials with new structures, properties, and functions. This Review provides the most recent advances of nanotechnology for immunostimulation and immunosuppression. In cancer immunotherapy, nanosystems play an essential role in immune cell activation and tumor microenvironment modulation, as well as combination with other antitumor approaches. In infectious diseases, many encouraging outcomes from using nanomaterial vaccines against viral and bacterial infections have been reported. In addition, nanoparticles also potentiate the effects of immunosuppressive immune cells for the treatment of inflammatory and autoimmune diseases. Finally, the challenges and prospects of applying nanotechnology to modulate immunotherapy are discussed.