Lung cancer has the highest incidence and mortality rate worldwide. Immunotherapy is a universal treatment for lung cancer, but its overall treatment remains a challenge. Tumor immunoediting is a process in which the immune system restricts or promotes tumor development through elimination, equilibrium, and escape to change tumor immunogenicity and obtain an immunosuppressive mechanism to promote disease progression. An increasing number of immunotherapy drugs, including monoclonal antibody-targeting drugs and chimeric antigen (Ag) receptor-modified T cells (CAR-T cells), have been used in clinical therapy. Additionally, cancer vaccine development and new clustered regularly spaced short palindromes (CRISPR)-based combination therapies against cancer open up new avenues for immunotherapy. However, these immunotherapies cause autoimmune induction and non-specific inflammation, with many limitations. The development and study of nanoparticle systems have shown the possibility of localization, pharmacokinetic programming, and immunomodulator co-delivery. Rapid advances in nanotechnology over the past decade have provided a strategic impetus for cancer immunotherapy improvements. Nanotechnology advancements in various aspects, such as virus-like size, high surface–volume ratio, and surface modifications to precisely target specific cell types, can be investigated through cancer vaccine and immunomodulator delivery system development. This review presents the current immunotherapy approaches for lung cancer and emphasizes the current process and prospects of the fusion of cancer immunotherapy, nanotechnology, bioengineering, and drug delivery.