Nanomedicines have shown great potential in cancer therapy; in particular, the combination of chemotherapy and immunotherapy (namely chemoimmunotherapy) that is revolutionizing cancer treatment. Currently, most nanomedicines for chemoimmunotherapy are still in preclinical and clinical trials. Lipid-based nanoparticles, the most widely used nanomedicine platform in cancer therapy, is a promising delivery platform for chemoimmunotherapy. In this review, we introduce the commonly used immunotherapy agents and discuss the opportunities for chemoimmunotherapy mediated by lipid-based nanoparticles. We summarize the clinical trials involving lipid-based nanoparticles for chemoimmunotherapy. We also highlight different chemoimmunotherapy strategies based on lipid-based nanoparticles such as liposomes, nanodiscs, and lipid-based hybrid nanoparticles in preclinical research. Finally, we discuss the challenges that have hindered the clinical translation of lipid-based nanoparticles for chemoimmunotherapy, and their future perspectives.