In recent years, nanoscale or microscale functional materials derived from DNA have shown great potential for immunotherapy as superior delivery carriers. DNA nanostructures with excellent programmability and addressability enable the precise assembly of molecules or nanoparticles. DNA hydrogels have predictable structures and adjustable mechanical strength, thus being advantageous in controllable release of cargos. In addition, utilizing systematic evolution of ligands by exponential enrichment technology, a variety of DNA aptamers have been screened for specific recognition of ions, molecules, and even cells. Moreover, a wide variety of chemical modifications can further enrich the function of DNA. The unique advantages of functional DNA materials make them extremely attractive in immunomodulation. Recently, functional DNA materials-based immunotherapy has shown great potential in fighting against many diseases like cancer, viral infection, and inflammation. Therefore, in this review, we focus on discussing the progress of the applications of functional DNA materials in immunotherapy; before that, we also summarize the characteristics of the functional DNA materials descried above. Finally, we discuss the challenges and future opportunities of functional DNA materials in immunomodulatory therapy.