Cancer immunotherapy holds significant promise for improving cancer treatment efficacy; however, the low response rate remains a considerable challenge. To overcome this limitation, advanced catalytic materials offer potential in augmenting catalytic immunotherapy by modulating the immunosuppressive tumor microenvironment (TME) through precise biochemical reactions. Achieving optimal targeting precision and therapeutic efficacy necessitates a thorough understanding of the properties and underlying mechanisms of tumor‐targeted catalytic materials. This review provides a comprehensive and systematic overview of recent advancements in tumor‐targeted catalytic materials and their critical role in enhancing catalytic immunotherapy. It highlights the types of catalytic reactions, the construction strategies of catalytic materials, and their fundamental mechanisms for tumor targeting, including passive, bioactive, stimuli‐responsive, and biomimetic targeting approaches. Furthermore, this review outlines various tumor‐specific targeting strategies, encompassing tumor tissue, tumor cell, exogenous stimuli‐responsive, TME‐responsive, and cellular TME targeting strategies. Finally, the discussion addresses the challenges and future perspectives for transitioning catalytic materials into clinical applications, offering insights that pave the way for next‐generation cancer therapies and provide substantial benefits to patients in clinical settings.