Cancer immunotherapy can effectively inhibit cancer progression by activating the autoimmune system, with low toxicity and high effectiveness. Some of cancer immunotherapy had positive effects on clinical cancer treatment. However, cancer immunotherapy is still restricted by cancer heterogeneity, immune cell disability, tumor immunosuppressive microenvironment and systemic immune toxicity. Cell membrane-coated nanoparticles (CMCNs) inherit abundant source cell-relevant functions, including "self" markers, cross-talking with the immune system, biological targeting, and homing to specific regions. These enable them to possess preferred characteristics, including better biological compatibility, weak immunogenicity, immune escaping, a prolonged circulation, and tumor targeting. Therefore, they are applied to precisely deliver drugs and promote the effect of cancer immunotherapy. In the review, we summarize the latest researches of biomimetic CMCNs for cancer immunotherapy, outline the existing specific cancer immune therapies, explore the unique functions and molecular mechanisms of various cell membrane-coated nanoparticles, and analyze the challenges which CMCNs face in clinical translation.