Cancer immunotherapy is a promising cancer terminator by directing the patient's own immune system in the fight against this challenging disorder. Despite the monumental therapeutic potential of several immunotherapy strategies in clinical applications, the efficacious responses of a wide range of immunotherapeutic agents are limited in virtue of their inadequate accumulation in the tumor tissue and fatal side effects. In the last decades, increasing evidences disclose that nanotechnology acts as an appealing solution to address these technical barriers via conferring rational physicochemical properties to nanomaterials. In this Review, an imperative emphasis will be drawn from the current understanding of the effect of a nanosystem's structure characteristics (e.g., size, shape, surface charge, elasticity) and its chemical modification on its transport and biodistribution behavior. Subsequently, rapid‐moving advances of nanoparticle‐based cancer immunotherapies are summarized from traditional vaccine strategies to recent novel approaches, including delivery of immunotherapeutics (such as whole cancer cell vaccines, immune checkpoint blockade, and immunogenic cell death) and engineered immune cells, to regulate tumor microenvironment and activate cellular immunity. The future prospects may involve in the rational combination of a few immunotherapies for more efficient cancer inhibition and elimination.