The rising global burden of cancer necessitates innovative therapeutic strategies, with immunotherapy demonstrating remarkable potential. However, its clinical efficacy remains limited by low response rates and non-specific (off-target) delivery. This review highlights natural polymer-based hydrogels as emerging delivery platforms engineered to enhance the efficacy of cancer immunotherapy. These hydrogels exploit the biocompatibility and biodegradability of natural polymers, employing chemical or physical crosslinking to encapsulate and deliver immunotherapeutic agents. The versatility of these hydrogels is discussed in the context of oral, sprayable, injectable, and implantable formulations, which are adaptable to specific tumor sites. Their responsiveness to stimuli such as pH, temperature, and enzymatic activity enables controlled and sustained release of immunotherapeutic agents, including checkpoint inhibitors, cytokines, and Toll-like receptor agonists. These hydrogels can also modulate the tumor microenvironment by regulating pH, oxygen levels, and immune cell infiltration, thereby enhancing therapeutic efficacy. Moreover, immunotherapeutic hydrogels can act synergistically with chemotherapy, radiotherapy, and phototherapies to enhance antitumor immune responses. Despite their potential, challenges such as degradation kinetics, bioactivity retention, and regulatory hurdles must be addressed to ensure successful clinical translation. This review provides insights into the rational design, development and application of stimuli-responsive hydrogels as next-generation platforms for effective cancer immunotherapy.