Triple-negative breast cancer (TNBC) is an aggressive subtype with the worst prognosis and highest recurrence rates. The treatment choices are limited due to the scarcity of endocrine and HER2 targets, except for chemotherapy. However, the side effects of chemotherapy restrict its long-term usage. Immunotherapy shows potential as a promising therapeutic strategy, such as inducing immunogenic cell death, immune checkpoint therapy, and immune adjuvant therapy. Nanotechnology offers unique advantages in the field of immunotherapy, such as improved delivery and targeted release of immunotherapeutic agents and enhanced bioavailability of immunomodulators. As well as the potential for combination therapy synergistically enhanced by nanocarriers. Nanoparticles-based combined application of multiple immunotherapies is designed to take the tactics of enhancing immunogenicity and reversing immunosuppression. Moreover, the increasing abundance of biomedical materials holds more promise for the development of this field. This review summarizes the advances in the field of nanoparticle-mediated immunotherapy in terms of both immune strategies for treatment and the development of biomaterials and presents challenges and hopes for the future.