Immunotherapy has gradually emerged as the most promising anticancer therapy. In addition to conventional anti-PD-1/PD-L1 therapy, anti-CTLA-4 therapy, CAR-T therapy, etc., immunotherapy can also be induced by stimulating the maturation of immune cells or inhibiting negative immune cells, regulating the tumor immune microenvironment and cancer vaccines. Lipid nanovesicle drug delivery system includes liposomes, cell membrane vesicles, bacterial outer membrane vesicles, extracellular vesicles and hybrid vesicles. Lipid nanovesicles can be used as functional vesicles for cancer immunotherapy, and can also be used as drug carriers to deliver immunotherapy drugs to the tumor site for cancer immunotherapy. Here, we review recent advances in five kinds of lipid nanovesicles in cancer immunotherapy and assess the clinical application prospects of various lipid nanovesicles, hoping to provide valuable information for clinical translation in the future.