Immunotherapy has attracted tremendous attention due to the remarkable clinical successes for treating a broad spectrum of tumors. One challenge for cancer immunotherapy is the inability to control localization and sustain concentrations of therapeutics at tumor sites. Local drug delivery systems (LDDSs) like the biomaterial scaffold-based drug delivery systems have emerged as a promising approach for delivering immunotherapeutic agents facilely and intensively in situ with reduced systemic toxicity. In this review, recent advances in biomaterial scaffold-based LDDSs for the administration of immunotherapeutic agents including vaccines, immunomodulators, and immune cells are summarized. Moreover, co-delivery systems are also evaluated for local immunotherapy-involving combination anti-tumor therapy, including chemotherapy-immunotherapy, photothermal-immunotherapy, and other combination therapies. Finally, the current challenges and future perspectives on the development of next-generation LDDSs for cancer immunotherapy are discussed.