Among various immunotherapies, natural killer (NK) cell cancer immunotherapy using adoptive transfer of NK cells takes a unique position by targeting tumor cells that evade the host immune surveillance. As the first-line innate effector cell, it has been revealed that NK cells have distinct mechanisms to both eliminate cancer cells directly and amplify the anticancer immune system. Over the last 40 years, NK cell cancer immunotherapy has shown encouraging reports in pre-clinic and clinic settings. In total, 288 clinical trials are investigating various NK cell immunotherapies to treat hematologic and solid malignancies in 2021. However, the clinical outcomes are unsatisfying, with remained challenges. The major limitation is attributed to the immune-suppressive tumor microenvironment (TME), low activity of NK cells, inadequate homing of NK cells, and limited contact frequency of NK cells with tumor cells. Innovative strategies to promote the cytolytic activity, durable persistence, activation, and tumor-infiltration of NK cells are required to advance NK cell cancer immunotherapy. As maturing nanotechnology and nanomedicine for clinical applications, there is a greater opportunity to augment NK cell therapeutic efficacy for the treatment of cancers. Active molecules/cytokine delivery, imaging, and physicochemical properties of nanoparticles are well equipped to overcome the challenges of NK cell cancer immunotherapy. Here, we discuss recent clinical trials of NK cell cancer immunotherapy, NK cell cancer immunotherapy challenges, and advances of nanoparticle-mediated NK cell therapeutic efficacy augmentation.