Melanoma is the most destructive and deadly among skin cancers. Patients presenting the most disseminated form of this disease have very low survival rates (≈15%) and highly restricted therapeutic alternatives. In recent years, the area of cancer immunotherapy has witnessed remarkable developments in the management of many cancers, including melanoma. In fact, immunotherapy unveiled as a feasible therapeutic alternative for late‐stage melanoma patients, specifically using immune checkpoint therapies. However, despite the exciting outcomes, only a small percentage of patients respond to these therapies, and severe immune‐related adverse reactions have been often reported. As such, most of preclinical and clinical studies currently explore melanoma tumor biology and immunology to guide the development of combinational immunotherapies aiming at relevant clinical efficacy and minimal toxicity. Herein, the current knowledge on melanoma biology and immunology is discussed, focusing on nanotechnology as a crucial strategy for the development of combinatorial approaches able to specifically modulate the function of key players responsible for melanoma evolution and evasion of host immune‐mediated attacks. Finally, the major challenges toward the clinical implementation of these emergent targeted nanomedicines for immunotherapy are further discussed, with particular focus on melanoma genomics, predictive biomarkers, clinical trial design, and clinical regulation of nanomedicines.