Cancer immunotherapy has shown remarkable progress in recent years. Nanocarriers, such as liposomes, have favorable advantages with the potential to further improve cancer immunotherapy and even stronger immune responses by improving cell type-specific delivery and enhancing drug efficacy. Liposomes can offer solutions to common problems faced by several cancer immunotherapies, including the following: (1) Vaccination: Liposomes can improve the delivery of antigens and other stimulatory molecules to antigen-presenting cells or T cells; (2) Tumor normalization: Liposomes can deliver drugs selectively to the tumor microenvironment to overcome the immune-suppressive state; (3) Rewiring of tumor signaling: Liposomes can be used for the delivery of specific drugs to specific cell types to correct or modulate pathways to facilitate better anti-tumor immune responses; (4) Combinational therapy: Liposomes are ideal vehicles for the simultaneous delivery of drugs to be combined with other therapies, including chemotherapy, radiotherapy, and phototherapy. In this review, different liposomal systems specifically developed for immunomodulation in cancer are summarized and discussed.