The development of strategies capable of eliminating metastasized cancer cells and preventing tumor recurrence is an exciting and extremely important area of research. In this regard, therapeutic approaches that explore the synergies between nanomaterial-mediated phototherapies and immunostimulants/immune checkpoint inhibitors have been yielding remarkable results in pre-clinical cancer models. These nanomaterials can accumulate in tumors and trigger, after irradiation of the primary tumor with near infrared light, a localized temperature increase and/or reactive oxygen species. These effects caused damage in cancer cells at the primary site and can also (i) relieve tumor hypoxia, (ii) release tumor-associated antigens and danger-associated molecular patterns, and (iii) induced a pro-inflammatory response. Such events will then synergize with the activity of immunostimulants and immune checkpoint inhibitors, paving the way for strong T cell responses against metastasized cancer cells and the creation of immune memory. Among the different nanomaterials aimed for cancer immuno-phototherapy, those incorporating near infrared-absorbing heptamethine cyanines (Indocyanine Green, IR775, IR780, IR797, IR820) have been showing promising results due to their multifunctionality, safety, and straightforward formulation. In this review, combined approaches based on phototherapies mediated by heptamethine cyanine-loaded nanomaterials and immunostimulants/immune checkpoint inhibitor actions are analyzed, focusing on their ability to modulate the action of the different immune system cells, eliminate metastasized cancer cells, and prevent tumor recurrence.