In recent years, immunotherapy has made great progress in clinical cancer therapy. However, the poor tumor specificity, low intra-tumoral penetration, and low cellular uptake in the systemic delivery of immunotherapeutic drugs lead to low efficacy and poor safety, limiting the development of immunotherapy. Active tumor-targeting nano drug delivery systems (aNDDS) can enhance the concentration of drugs in target cells through the interaction between surface-conjugated antibodies or ligands and the receptors on target cell membranes, providing a viable strategy for specific and efficient drug delivery. In addition, some specific types of cell membranes with the natural targeting ability have been exploited for the construction of biomimetic nanocarriers to improve the drug delivery efficiency. In view of the many advantages of active tumor-targeting nanocarriers, researchers also have designed a series of aNDDS for promoting antitumor immune responses and proved that they improved the efficacy and safety of immunotherapy. In this review, we summarize the recent progress on aNDDS for improving the tumor immunotherapy and look forward to the main challenges and future directions in this field.