Nowadays, the landscape of cancer treatments has broadened thanks to the clinical application of immunotherapeutics. After decades of failures, cancer immunotherapy represents an exciting alternative for those patients suffering from a wide variety of cancers, especially for those skin cancers, such as the early stages of melanoma. However, those cancers affecting internal organs still face a long way to success, because of the poor biodistribution of immunotherapies. Here, nanomedicine appears as a hopeful strategy to modulate the biodistribution aiming at target organ accumulation. In this way, efficacy will be improved, while reducing the side effects at the same time. In this review, we aim to highlight the most promising cancer immunotherapeutic strategies. From monoclonal antibodies and their traditional use as targeted therapies to their current use as immune checkpoint inhibitors; as well as adoptive cell transfer therapies; oncolytic viruses, and therapeutic cancer vaccination. Then, we aim to discuss the important role of nanomedicine to improve the performance of these immunotherapeutic tools to finally review the already marketed nanomedicine-based cancer immunotherapies.