Tumor immunotherapy is a safe and effective strategy for precision medicine. However, immunotherapy for most cancer cases still ends in failure, with the root causes of the immunosuppressive and extraordinary heterogeneity of the solid tumors microenvironment. The emerging biomimetic nanodelivery system provides a promising tactic to improve the immunotherapy effect while reducing the adverse reactions on nontarget cells. Herein, we summarize the relationship between tumor occurrence and tumor immune microenvironment, mechanism of tumor immune escape, immunotherapy classification (including adoptive cellular therapy, cytokines, cancer vaccines, and immune checkpoint inhibitors) and recommend target cells for immunotherapy first, and then emphatically introduce the recent advances and applications of the latest biomimetic nanodelivery systems (e.g., immune cells, erythrocytes, tumor cells, platelets, bacteria) in tumor immunotherapy. Meanwhile, we separately summarize the application of tumor vaccines. Finally, the predictable challenges and perspectives in a forward exploration of biomimetic nanodelivery systems for tumor immunotherapy are also discussed.