The delivery of drugs, antigens, and imaging agents benefits from using nanotechnology-based carriers. The successful translation of nanoformulations to the clinic involves thorough assessment of their safety profiles, which, among other endpoints, includes evaluation of immunotoxicity. The past decade of research focusing on nanoparticle interaction with the immune system has been fruitful in terms of understanding the basics of nanoparticle immunocompatibility, developing a bioanalytical infrastructure to screen for nanoparticle-mediated immune reactions, beginning to uncover the mechanisms of nanoparticle immunotoxicity, and utilizing current knowledge about the structure–activity relationship between nanoparticles’ physicochemical properties and their effects on the immune system to guide safe drug delivery. In the present review, we focus on the most prominent pieces of the nanoparticle–immune system puzzle and discuss the achievements, disappointments, and lessons learned over the past 15 years of research on the immunotoxicity of engineered nanomaterials.