Immunotherapy is revolutionizing the treatment of cancer. It can achieve unprecedented responses in advanced-stage patients, including complete cures and long-term survival. However, immunotherapy also has limitations, such as its relatively low response rates and the development of severe side effects. These drawbacks are gradually being overcome by improving our understanding of the immune system, as well as by establishing combination regimens in which immunotherapy is combined with other treatment modalities. In addition to this, in recent years, progress made in chemistry, nanotechnology and materials science has started to impact immuno-oncology, resulting in more effective and less toxic immunotherapy interventions. In this context, multiple different nanomedicine formulations and macroscale materials have been shown to be able to boost anti-cancer immunity and the efficacy of immunomodulatory drugs. We here review nanotechnological and materials chemistry efforts related to endogenous and exogenous vaccination, to the engineering of antigen-presenting cells and T cells, and to the modulation of the tumor microenvironment. We also discuss limitations, current trends and future directions. Together, the insights provided and the evidence obtained indicate that there is a bright future ahead for engineering nanomedicines and macroscale materials for immuno-oncology applications.