Nano-immunotherapy has been recognized as a highly promising strategy for cancer treatment in recent decades, which combines nanotechnology and immunotherapy to combat against tumors. Hybrid nanomaterials consisting of at least two constituents with distinct compositions and properties, usually organic and inorganic, have been engineered with integrated functions and enormous potential in boosting cancer immunotherapy. This review provides a summary of hybrid nanomaterials reported for cancer immunotherapy, including nanoscale metal-organic frameworks, metal-phenolic networks, mesoporous organosilica nanoparticles, metallofullerene nanomaterials, polymer-lipid, and biomacromolecule-based hybrid nanomaterials. The combination of immunotherapy with chemotherapy, chemodynamic therapy, radiotherapy, radiodynamic therapy, photothermal therapy, photodynamic therapy, and sonodynamic therapy based on hybrid nanomaterials is also discussed. Finally, the current challenges and the prospects for designing hybrid nanomaterials and their application in cancer immunotherapy are outlined.