Cancer immunotherapies have generated some miracles in the clinic by orchestrating our immune system to combat cancer cells. However, the safety and efficacy concerns of the systemic delivery of these immunostimulatory agents has limited their application. Nanomedicine-based delivery strategies (e.g., liposomes, polymeric nanoparticles, silico, etc.) play an essential role in improving cancer immunotherapies, either by enhancing the anti-tumor immune response, or reducing their systemic adverse effects. The versatility of working with biocompatible polymers helps these polymeric nanoparticles stand out as a key carrier to improve bioavailability and achieve specific delivery at the site of action. This review provides a summary of the latest advancements in the use of polymeric micelles for cancer immunotherapy, including their application in delivering immunological checkpoint inhibitors, immunostimulatory molecules, engineered T cells, and cancer vaccines.