Cancer immunotherapy is revolutionizing oncology. However, dose-limiting toxicities and low patient response rates remain major challenges in the clinic. Cancer nanomedicine in combination with immunotherapies offers the possibility to amplify antitumour immune responses and to sensitize tumours to immunotherapies in a safe and effective manner. In this Review, we discuss opportunities for combination immunotherapy based on nanoparticle platforms designed for chemotherapy, photothermal therapy, photodynamic therapy, radiotherapy and gene therapy. We highlight how nanoparticles can be used to reprogramme the immunosuppressive tumour microenvironment and to trigger systemic antitumour immunity, synergizing with immunotherapies against advanced cancer. Finally, we discuss strategies to improve tumour and immune cell targeting while minimizing toxicity and immune-related adverse events, and we explore the potential of theranostic nanoparticles for combination immunotherapy.