Cancer immunotherapy that induces a tumor-specific immune response for cancer eradication has received tremendous attention. To enhance the immunotherapeutic effects, many drug delivery strategies have been developed to overcome the physiological barriers as well as to reduce toxicity. For example, intratumoral or peritumoral administration of injectable depot formulations can directly target tumor sites for immunotherapy. Compared with systemic administration of therapeutics, this strategy has minimal side effects. Such local treatment can also trigger a systemic immune response for inhibiting tumor metastasis. This Topical Review highlights the recent studies on depot-mediated delivery of protein/peptide therapeutics for cancer immunotherapy. Further opportunities and challenges in this field are also discussed.