In recent years considerable progress has been made in the field of cancer immunotherapy whereby treatments that modulate the body's own immune system are used to combat cancer. This has the potential to not only elicit strong anti-cancer immune responses which can break pre-existing tolerance and help promote tumor regression, but could also induce immunological memory which may help prevent tumor recurrence. In order to ensure effective delivery of immunotherapeutic agents, such as vaccines, checkpoint inhibitors, chemotherapeutic agents and nucleic acids, a safe and effective delivery system is often required. One such approach is the use of multifunctional nanoparticles (NPs), such as liposomes, polymers, micelles, dendrimers, inorganic NPs, and hybrid NPs, which have the potential to combine the delivery of a diverse range of therapeutic immunomodulators thereby increasing the efficacy of tumor cell killing. This review focuses on recent progress in NP-mediated immunotherapy for the treatment of cancer.