Cancer immunotherapy has shown remarkable results in various cancer types through a range of immunotherapeutic approaches, including chimeric antigen receptor-T cell (CAR-T) therapy, immune checkpoint blockade (ICB), and therapeutic vaccines. Despite the enormous potential of cancer immunotherapy, its application in various clinical settings has been limited by immune evasion and immune suppressive mechanisms occurring locally or systemically, low durable response rates, and severe side effects. In the last decades, the rapid advancement of nanotechnology has been aiming at the development of novel synthetic nanocarriers enabling precise and enhanced delivery of immunotherapeutics, while improving drug stability and effectiveness. Magnetic nanostructured formulations are particularly intriguing because of their easy surface functionalization, low cost, and robust manufacturing procedures, together with their suitability for the implementation of magnetically-guided and heat-based therapeutic strategies. Here, we summarize and discuss the unique features of magnetic-based nanostructures, which can be opportunely designed to potentiate classic immunotherapies, such as therapeutic vaccines, ICB, adoptive cell therapy (ACT), and in situ vaccination. Finally, we focus on how multifunctional magnetic delivery systems can facilitate the anti-tumour therapies relying on multiple immunotherapies and/or other therapeutic modalities. Combinatorial magnetic-based therapies are indeed offering the possibility to overcome current challenges in cancer immunotherapy.