The newly emerged cancer immunotherapy has shown a great potential in clinical trials. However, most immunotherapeutic strategies focus on restoring and/or enhancing the effector T cell responses, and only a small portion of malignancies respond favorably due to the lacking of T cell infiltration. Recently, the modulation of innate immune system has been applied as an alternative or combined strategy to improve host anti-tumor immunity. In this review, we summarize recent progress in nanotechnology-based innate immunomodulation for cancer therapy. Firstly, we present various types of nanodevices that serve to deliver or mimic the reactions of pathogen-associated molecular patterns (PAMPs), such as bacterial components, viral DNA or viral RNA, for the stimulation of type I interferons (IFNs) and pro-inflammatory cytokines. We also introduce nanodevice-mediated immunogenic cell death (ICD) for the generation of endogenous danger-associated molecular patterns (DAMPs) and improvement of immune responses. Moreover, targeted manipulation of specific types of innate immune cells by nanodevices are discussed. Lastly, we describe typical strategies of combining innate immunomodulatory nanodevices with immune checkpoint blockade to amplify the anti-tumor efficacy.