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Toll-like receptors (TLRs) are natural initial triggers of innate and adaptive immune responses. With the advent of cancer immunotherapy, nucleic acids engineered as ligands of endosomal TLRs have been investigated for the treatment of solid tumors. Despite promising results, their systemic administration, similarly to other immunotherapies, raises safety issues. To overcome these problems, recent studies have applied the direct injection of endosomal TLR agonists in the tumor and/or draining lymph nodes, achieving high local drug exposure and strong antitumor response. Importantly, intratumoral delivery of TLR agonists showed powerful effects not only against the injected tumors but also often against uninjected lesions (abscopal effects), resulting in some cases in cure and antitumoral immunological memory. Herein, we describe the structure and function of TLRs and their role in the tumor microenvironment. Then, we provide our vision on the potential of intratumor versus systemic delivery or vaccination approaches using TLR agonists, also considering the use of nanoparticles to improve their targeting properties. Finally, we collect the preclinical and clinical studies applying intratumoral injection of TLR agonists as monotherapies or in combination with: (a) other TLR or STING agonists; (b) other immunotherapies; (c) radiotherapy or chemotherapy; (d) targeted therapies.