Cancer is becoming the main public health problem globally. Conventional chemotherapy approaches are slowly being replaced or complemented by new therapies that avoid the loss of healthy tissue, limit off-targets, and eradicate cancer cells. Immunotherapy is nowadays an important strategy for cancer treatment, that uses the host's anti-tumor response by activating the immune system and increasing the effector cell number, while, minimizing cancer's immune-suppressor mechanisms. Its efficacy is still limited by poor therapeutic targeting, low immunogenicity, antigen presentation deficiency, impaired T-cell trafficking and infiltration, heterogeneous microenvironment, multiple immune checkpoints and unwanted side effects, which could benefit from improved delivery systems, able to release immunotherapeutic agents to tumor microenvironment and immune cells. Nanoparticles (NPs) for immunotherapy (Nano-IT), have a huge potential to solve these limitations. Natural and/or synthetic, targeted and/or stimuli-responsive nanoparticles can be used to deliver immunotherapeutic agents in their native conformations to the site of interest to enhance their antitumor activity. They can also be used as co-adjuvants that enhance the activity of IT effector cells. These nanoparticles can be engineered in the natural context of cell-derived extracellular vesicles (EVs) or exosomes or can be fully synthetic. In this review, a detailed SWOT analysis is done through the comparison of engineered-synthetic and naturaly-derived nanoparticles in terms of their current and future use in cancer immunotherapy.