Immunotherapy has markedly reinvented how we treat cancer, as shown by numerous Food and Drug Administration (FDA) drug approvals that have made significant clinical impact and ongoing clinical trials. However, undesirable side effects, such as autoimmunity and inflammation, and inconsistent clinical outcomes remain a major challenge. Improving response rates across various immunotherapeutic reagents is imperative to enhance overall effectiveness and reduce adverse side effects. To address this challenge, interdisciplinary approaches have been explored by incorporating immunotherapies into hydrogels, enabling fine-controlled delivery to target tissues. This review focuses on recent progress in the utilization of hydrogel-based delivery systems for cancer immunotherapy and their potential to further enhance treatment response rates. Specifically, recent preclinical advances in hydrogels implemented with immune checkpoint inhibitors, combination therapies, and vaccines, along with self-assembled peptide hydrogels, are reviewed. We also discuss technological advances and drawbacks in this area and provide insights to ultimately realize the clinical application of hydrogels in cancer immunotherapy.