Despite the remarkable progress in immune checkpoint blockade (ICB) therapy for cancer treatment, low objective response and immune‐related side effects (immune‐related adverse events, irAEs) limit the further development of ICBs. To address these challenges and enhance the efficiency of cancer immunotherapy, the emerging interest has focused on manipulating biomaterials to form innovational drug delivery systems that are necessary to effectively deliver immune checkpoint inhibitors. Such biomaterial‐based strategies can improve accumulation, control release, and enhance retention of checkpoint inhibitors within target locations while simultaneously reducing drug exposure for off‐target tissues, thereby optimizing both the efficacy and safety. In addition, with the assistance of biomaterials, combinations of ICB and conventional treatment strategies including chemotherapy, radiotherapy, and phototherapy are designed to further enhance the response rate of ICB. This review focuses on the latest reports on engineering biomaterials to improve the antitumor efficiency of ICB, with stress on antibody‐, gene‐, and trap protein–based immune checkpoint blockade strategies and their combinations with conventional therapies. Challenges and future trends in engineering biomaterials to modulate immune checkpoint therapy are discussed.