While the number of oncology-related nanotherapeutics and immunotherapies is constantly increasing, cancer patients still suffer from a lack of efficacy and treatment resistance. Among the investigated strategies, patient selection and combinations appear to be of great hope. This review will focus on combining nanotherapeutics and immunotherapies together, how they can dually optimize each other to face such limits, bringing us into a new field called nano-immunotherapy. While looking at current clinical trials, we will expose how passive immunotherapies, such as antibodies and ADCs, can boost nanoparticle tumor uptake and tumor cell internalization. Conversely, we will study how immunotherapies can benefit from nanotherapeutics which can optimize their lipophilicity, permeability, and distribution (e.g., greater tumor uptake, BBB crossing, etc.), tumor, tumor microenvironment, and immune system targeting properties.