The targeted delivery of cancer immunotherapies has increased noticeably in recent years. Recent advancements in immunotherapy, particularly in blocking the immune checkpoints (ICs) axis, have shown favorable treatment outcomes for multiple types of cancer including melanoma and non-small-cell lung cancer (NSLC). Engineered micromachines, including microparticles, and nanoplatforms (organic and inorganic), functionalized with immune agonists can effectively deliver immune-targeting molecules to solid tumors. This review focuses on the nanomaterial-based strategies that have shown promise in identifying and targeting various immunological markers in the tumor microenvironment (TME) for cancer diagnosis and therapy. Nanomaterials-based cancer immunotherapy has improved treatment outcomes by triggering an immune response in the TME. Evaluating the expression levels of ICs in the TME also could potentially aid in diagnosing patients who would respond to IC blockade therapy. Detecting immunological checkpoints in the TME using noninvasive imaging systems via tailored nanosensors improves the identification of patient outcomes in immuno-oncology (IO). To enhance patient-specific analysis, lab-on-chip (LOC) technology is a rapid, cost-effective, and accurate way of recapitulating the TME. Such novel nanomaterial-based technologies have been of great interest for testing immunotherapies and assessing biomarkers. Finally, we provide a perspective on the developments in artificial intelligence tools to facilitate ICs-based nano theranostics toward cancer immunotherapy.