Cancer nanomedicines have shown promise in combination immunotherapy, thus far mostly preclinically but also already in clinical trials. Combining nanomedicines with immunotherapy aims to reinforce the cancer-immunity cycle, via potentiating key steps in the immune reaction cascade, namely antigen release, antigen processing, antigen presentation, and immune cell-mediated killing. Combination nano-immunotherapy can be realized via three targeting strategies, i.e., by targeting cancer cells, targeting the tumor immune microenvironment, and targeting the peripheral immune system. The clinical potential of nano-immunotherapy has recently been demonstrated in a phase III trial in which nano-albumin paclitaxel (Abraxane®) was combined with atezolizumab (Tecentriq®) for the treatment of patients suffering from advanced triple-negative breast cancer. In the present paper, besides strategies and initial (pre)clinical success stories, we also discuss several key challenges in nano-immunotherapy. Taken together, nanomedicines combined with immunotherapy are gaining significant attention, and it is anticipated that they will play an increasingly important role in clinical cancer therapy.