Immunotherapy has become a promising cancer therapy, improving the prognosis of patients with many different types of cancer and offering the possibility for long-term cancer remission. Nevertheless, some patients do not respond to these treatments and immunotherapy has shown some limitations, such as immune system resistance or limited bioavailability of the drug. Therefore, new strategies that include the use of nanoparticles (NPs) are emerging to enhance the efficacy of immunotherapies. NPs present very different pharmacokinetic and pharmacodynamic properties compared with free drugs and enable the use of lower doses of immune-stimulating molecules, minimizing their side effects. However, NPs face issues concerning stability in physiological conditions, protein corona (PC) formation, and accumulation in the target tissue. PC formation changes the physicochemical and biological properties of the NPs and in consequence their therapeutic effect. This review summarizes the recent advances in the study of the effects of PC formation in NP-based immunotherapy. PC formation has complex effects on immunotherapy since it can diminish (“immune blinding”) or enhance the immune response in an uncontrolled manner (“immune reactivity”). Here, future perspectives of the field including the latest advances towards the use of personalized protein corona in cancer immunotherapy are also discussed.