Cancer immunotherapy aims to reinitiate the autoimmune responses for fighting cancer cells. Immunomodulators, such as immune vaccines, adjuvants, and immune checkpoint inhibitors, have been extensively developed to activate the immune response against cancer. However, it is disadvantageous to directly apply immunomodulators in cancer immunotherapy for the following reasons: (I) instability of immunomodulators; (II) immunomodulators easily cleared; (III) uncontrolled immune response. Many efforts have been made to overcome these drawbacks, among which loading immunomodulators by nanocarriers is a simple and effective method. Nanocarriers can not only protect immunomodulators from degradation but also control their release and extend their blood circulation time. Some nanocarriers can specifically enrich in immune cells or organs to regulate their connection to further modulate the immune system. Besides, response-type nanocarriers can also be designed as required to control the release of immunomodulators to reduce immune-related adverse events. Of note, nanocarriers with excellent photothermal or photodynamic properties play the crucial role in inducing immunogenic cell death for enhanced cancer immunotherapy. In this review, various nanocarriers and their bioapplications in cancer immunotherapy have been summarized. We outlined the inorganic, organic, and organic-inorganic hybrid nanocarriers and the designing of effective nanocarrier-based immune interventions. The prospects and drawbacks of nanocarriers were also further reviewed in this work. This review will provide vital guidance for the design and synthesis of nanocarriers for application in cancer immunotherapy.