Immunotherapy, which utilizes the patient’s own immune system to fight against cancer, further results in durable antitumor responses and reduces metastasis and recurrence, has become one of the most effective and important cancer therapies along with surgery, radiotherapy, and chemotherapy. Nanomaterials with the advantages of large specific surface, delivery function, and controllable surface chemistry are used to deliver antigens or adjuvants, or both, help to boost immune responses with the imaging function or just act as adjuvants themselves and modulate tumor microenvironment (TME). In this review, recent development and applications of nanomaterials for cancer immunotherapy including delivery systems based on nanomaterials, uniting imaging, self-adjuvants, targeting functions, artificial antigen presenting cells, and TME modulation are focused and discussed.