Cancer immunotherapy, a burgeoning modality for cancer treatment, operates by activating the autoimmune system to impede the growth of malignant cells. Although numerous immunotherapy strategies have been employed in clinical cancer therapy, the resistance of cancer cells to immunotherapeutic medications and other apprehensions impede the attainment of sustained advantages for most patients. Recent advancements in nanotechnology for drug delivery hold promise in augmenting the efficacy of immunotherapy. However, the efficacy is currently constrained by the inadequate specificity of delivery, low rate of response, and the intricate immunosuppressive tumor microenvironment. In this context, the investigation of cell membrane coated nanoparticles (CMNPs) has revealed their ability to perform targeted delivery, immune evasion, controlled release, and immunomodulation. By combining the advantageous features of natural cell membranes and nanoparticles, CMNPs have demonstrated their unique potential in the realm of cancer immunotherapy. This review aims to emphasize recent research progress and elucidate the underlying mechanisms of CMNPs as an innovative drug delivery platform for enhancing cancer immunotherapy. Additionally, it provides a comprehensive overview of the current immunotherapeutic strategies involving different cell membrane types of CMNPs, with the intention of further exploration and optimization.