Cancer immunotherapy is a cutting-edge strategy that eliminates cancer cells by amplifying the host's immune system. However, the low response rate and risks of inducing systemic toxicity have raised uncertainty in the treatment. Magnetic nanoparticles (MNPs) as a versatile theranostic tool can be used to target delivery of multiple immunotherapeutics and monitor cell/tissue responses. These capabilities enable the real-time characterization of the factors that contribute to immunoactivity so that future treatments can be optimized. The magnetic properties of MNPs further allow the implementation of magnetic navigation and magnetic hyperthermia for boosting the efficacy of immunotherapy. The multimodal approach opens an avenue to induce robust immune responses, minimize safety issues, and monitor immune activities simultaneously. Thus, the object of this review is to provide an overview of the burgeoning fields and to highlight novel technologies for next-generation immunotherapy. The review further correlates the properties of MNPs with the latest treatment strategies to explore the crosstalk between magnetic nanomaterials and the immune system. This comprehensive review of MNP-derived immunotherapy covers the obstacles and opportunities for future development and clinical translation.