Immunotherapy has been emerging as a potent strategy for cancer treatment. However, undesirable therapeutic efficacy remains a challenge, including low drug loading, imprecise targeting, and non-specific releasing. The drug delivery systems of immunotherapy play a key role in improving therapeutic efficacy and reducing side effects. To address these concerns, functional DNA nanostructures-based materials have been explored to achieve high loading capability, precise targeting, and controllable releasing. This review focuses on the crucial issues of delivery system for cancer immunotherapy and the strategies to improve the delivery efficacy. Specifically, recent advances in DNA nanostructures-based materials that promote the therapeutic efficacy of cancer immunotherapy through rational DNA sequence design to regulate the spatial distribution of immunotherapeutics loading are reviewed. The strategies to enhance precise targeting ability basing on nucleic acid aptamers and further enable immune checkpoint inhibitions are presented. The recent progress on the controllable release of immunotherapeutics triggered by specific stimulus is discussed. In the end, we provide insights for the subsequent realization of applications of DNA nanostructures-based materials for cancer immunotherapy in the future.