Cancer immunotherapy harness the body’s immune system to eliminate cancer, by using a broad panel of soluble and membrane proteins as therapeutic targets. Immunosuppression signaling mediated by ligand-receptor interaction may be blocked by monoclonal antibodies, but because of repopulation of the membrane via intracellular organelles, targets must be eliminated in whole cells. Targeted protein degradation, as exemplified in proteolysis targeting chimera (PROTAC) studies, is a promising strategy for selective inhibition of target proteins. The recently reported use of lysosomal targeting molecules to eliminate immune checkpoint proteins has paved the way for targeted degradation of membrane proteins as crucial anti-cancer targets. Further studies on these molecules’ modes of action, target-binding “warheads”, lysosomal sorting signals, and linker design should facilitate their rational design. Modifications and derivatives may improve their cell-penetrating ability and the in vivo stability of these pro-drugs. These studies suggest the promise of alternative strategies for cancer immunotherapy, with the aim of achieving more potent and durable suppression of tumor growth. Here, the successes and limitations of antibody inhibitors in cancer immunotherapy, as well as research progress on PROTAC- and lysosomal-dependent degradation of target proteins, are reviewed.