Immunotherapies including adaptive immune checkpoint inhibitors (ICIs) and chimeric antigen receptor (CAR) T cells, have developed the treatment of cancer in clinic, and most of them focus on activating T cell immunity. Although these strategies have obtained unprecedented clinical responses, only limited subsets of cancer patients could receive long-term benefits, highlighting the demand for identifying novel targets for the new era of tumor immunotherapy. Innate immunity has been demonstrated to play a determinative role in the tumor microenvironment (TME) and influence the clinical outcomes of tumor patients. A thorough comprehension of the innate immune cells that infiltrate tumors would allow for the development of new therapeutics. In this review, we outline the role and mechanism of innate immunity in TME. Moreover, we discuss innate immunity-based cancer immunotherapy in basic and clinical studies. Finally, we summarize the challenges in sufficiently motivating innate immune responses and the corresponding strategies and measures to improve anti-tumor efficacy. This review could aid the comprehension of innate immunity and inspire the creation of brand-new immunotherapies for the treatment of cancer.