Using nanostructured drug delivery systems has attracted increasing interest in immunotherapeutic approaches. The intrinsic immunomodulatory properties and versatility of nanoparticles used as carriers were consistently reported to augment treatment efficiency as nanoscaled materials increase drug accumulation at the desired site, enhance cell internalization, and improve therapeutic outcomes. Thus, numerous studies have exploited the potential use of nanostructured drug delivery vehicles in delivering different cargo as a promising alternative for treating conditions like cancer, autoimmune diseases, infectious diseases, and allergic and immune disorders. In this context, this paper presents nanostructured drug delivery systems as a solid basis for immunotherapeutic innovations, highlighting their advantages for improving treatment strategies, reviewing their clinical applications, and discussing existing challenges and ways to overcome them.