Our improved knowledge of tumor immunology laid a solid foundation for the clinical use of tumor immunotherapies such as immune checkpoint blockers, and the efficacy of these drugs increased our confidence that immunomodulation was a viable way of treating cancer. The basis of immunotherapy is to break the immune escape of the tumor and resolve the immune suppressive microenvironment of tumors. Nanomaterial-mediated dynamic therapy (NDT) is an emerging immuno-regulatable type for tumor therapy, whose effects are mediated by increased cellular levels of reactive oxygen species (ROS). ROS is a potent trigger of immunogenic cell death, and this process initiates antitumor immunity. Nanomaterials for use in NDT can be engineered to interact with almost all cell types in the tumor microenvironment to remodel this environment. In this review, we systematically examined the effects of NDT on four major cell types in the tumor microenvironment, namely tumor cells, lymphocytes, myeloid cells, and tumor stromal cells. We believe that this review will improve researchers’ understanding of the anti-tumor immunity triggered by NDT, and provide ideas and inspiration for how optimally designed NDT schemes can be used to target the cells in the tumor microenvironment.