Regulated drug delivery is an important direction in the field of medicine and healthcare research. In recent years, injectable hydrogels with good biocompatibility and biodegradability have attracted extensive attention due to their promising application in controlled drug release. Among them, DNA hydrogel has shown great potentials in local drug delivery and immunotherapy. DNA hydrogel is a three-dimensional network formed by cross-linking of hydrophilic DNA strands with extremely good biocompatibility. Benefiting from the special properties of DNA, including editable sequence and specificity of hybridization reactions, the mechanical properties and functions of DNA hydrogels can be precisely designed according to specific applications. In addition, other functional materials, including peptides, proteins and synthetic organic polymers can be easily integrated with DNA hydrogels, thereby enriching the functions of the hydrogels. In this review, we first summarize the types and synthesis methods of DNA hydrogels, and then review the recent research progress of injectable DNA hydrogels in local drug delivery, especially in immunotherapy. Finally, we discuss the challenges facing DNA hydrogels and future development directions.