Immunotherapy has become an important part of the oncotherapy arsenal. Its applicability in various cancer types is impressive, as well as its use of endogenous mechanisms to achieve desired ends. However, off-target or on-target-off-tumor toxicity, limited activity, lack of control in combination treatments and, especially for solid tumors, low local accumulation, have collectively limited clinical use thereof. These limitations are partially alleviated by delivery systems. Lipid-based nanoparticles (NPs) have emerged as revolutionary carriers due to favorable physicochemical characteristics, with specific applications and strengths particularly useful in immunotherapeutic agent delivery. The aim of this review is to highlight the challenges faced by immunotherapy and how lipid-based NPs have been, and may be further utilized to address such challenges. We discuss recent fundamental and clinical applications of NPs in a range of areas and provide a detailed discussion of the main obstacles in immune checkpoint inhibition therapies, adoptive cellular therapies, and cytokine therapies. We highlight how lipid-based nanosystems could address these through either delivery, direct modulation of the immune system, or targeting of the immunosuppressive tumor microenvironment. We explore advanced and emerging liposomal and lipid nanoparticle (LNP) systems for nucleic acid delivery, intrinsic and extrinsic stimulus-responsive formulations, and biomimetic lipid-based nanosystems in immunotherapy. Finally, we discuss the key challenges relating to the clinical use of lipid-based NP immunotherapies, suggesting future research directions for the near term to realize the potential of these innovative lipid-based nanosystems, as they become the crucial steppingstone towards the necessary enhancement of the efficacy of immunotherapy. Graphical abstract