Recent clinical success of systemic cancer immunotherapy has paved the way for the next-generation therapeutics. Nevertheless, cancer immunotherapies, in particular combination therapies, are associated in some cases with severe side effects and low response rates. Synthetic scaffolds have emerged as a promising platform to deliver immunotherapeutic agents locally. Placed at strategic locations of the body, scaffolds can reduce side effects while increasing the concentration of the agent at the site of interest. Moreover, scaffolds can mimic the context, in which biochemical cues are presented in vivo to enhance cell modulation. Recent research has focused on designing three-dimensional (3D) scaffolds with specific properties to modulate the antitumor response at various stages of the cancer immunity cycle. As the number of immunotherapies in clinical trials is soaring, it is essential to critically evaluate the role that scaffolds can play in improving the safety and efficacy of existing and future therapies.