Cancer immunotherapy is on its advent. However, some drawbacks seem to limit its application, namely, the immune-related adverse events and the evasion of the immune system that hampers cancer treatment responses. Therefore, the application of nanotechnologyNanotechnology in medicine, termed nanomedicine, may constitute a promising tool to address some of these issues. Nanotheranostics is a relatively recent concept that prescribes nanomedicine and theranostics to diagnose, monitor, and treat disease, with a valuable background in cancer. Therefore, this book chapter intends to address the current state of the art regarding the use of nanotheranostic tools to improve immunotherapy outcomes in cancer. For that purpose, the immune system was presented at a glance, and cancer immunology was briefly addressed. After, a quick attempt concerning cancer immunotherapies principles was performed. Furthermore, the application of nanotheranostics to improve cancer immunotherapy treatments was summarized, and some advantages and limitations were presented. Later, the combination of phototherapies and immunotherapies for cancer nanotheranostic purposes was delivered. Lastly, some conclusions were given.