Despite advancements in cancer immunotherapy, heterogeneity in tumor response impose barriers to successful treatments and accurate prognosis. Effective therapy and early outcome detection are critical as toxicity profiles following immunotherapies can severely affect patients’ quality of life. Existing imaging techniques, including positron emission tomography, computed tomography, magnetic resonance imaging, or multiplexed imaging, are often used in clinics yet suffer from limitations in the early assessment of immune response. Conventional strategies to validate immune response mainly rely on the Response Evaluation Criteria in Solid Tumors (RECIST) and the modified iRECIST for immuno‐oncology drug trials. However, accurate monitoring of immunotherapy efficacy is challenging since the response does not always follow conventional RECIST criteria due to delayed and variable kinetics in immunotherapy responses. Engineered nanomaterials for immunotherapy applications have significantly contributed to overcoming these challenges by improving drug delivery and dynamic imaging techniques. This review summarizes challenges in recent immune‐modulation approaches and traditional imaging tools, followed by emerging developments in three‐in‐one nanoimmunotheranostic systems co‐opting nanotechnology, immunotherapy, and imaging. In addition, a comprehensive overview of imaging modalities in recent cancer immunotherapy research and a brief outlook on how nanotheranostic platforms can potentially advance to clinical translations for the field of immuno‐oncology is presented.