Purpose: Although plenty of research and reviews focus on the medical applications of nanomaterials, the use of nanomaterials as pharmaceuticals is still rarely approved. Intravenous injections of theranostic nanomaterials are a common route for in vivo studies. However, the consideration of using nanomaterials for prevalent drug carriers is still limited because they are inevitably accumulated in vital organs. This review focused on contemporary radiolabeled nanomaterials and potent immunological responses that have been reported in preclinical and clinical studies. Methods: In general, nanomaterials can conjugate with different targeting or therapeutic entities to treat diseases in vivo, and certain materials may generate fluorescence or heat by external photoexcitation. Both inorganic and organic nanomaterials used for conjugation of radionuclides for diagnosis or therapy in vivo are discussed. Results: Most nanomaterials are claimed to contain low cytotoxicity, and the immunological responses resulted from nanomaterials are versatile. The induced immunity is a benefit for adjuvant therapy in cancer treatment. However, the systemic effects are yet to be investigated. The organic polymer dots exhibit ultrabright near-infrared II fluorescence that can be used for imaging of tumor angiogenesis, and enhanced permeability and retention effects. This nanomaterial should be ideal for clinical application after conjugation with approved radionuclides. Conclusion: Nanomaterials are candidates for theranostic purposes, although their biosafety is still a challenge. The immunomodulation by specific nanomaterials is particularly interesting because radionuclide-conjugated nanoparticles may contribute to the concept of combined radiotherapy and immunotherapy.