Macroscale biomaterials, such as preformed implantable scaffolds and injectable soft materials, possess powerful synergies with anti-cancer immunotherapies. Immunotherapies on their own typically have poor delivery properties, and often require repeated high-dose injections that result in serious off-tumor effects and/or limited efficacy. Rationally designed biomaterials allow for discrete localization and controlled release of immunotherapeutic agents, and have been shown in a large number of applications to improve outcomes in the treatment of cancers via immunotherapy. Among various strategies, macroscale biomaterial delivery systems can take the form of robust tablet-like scaffolds that are surgically implanted into a tumor resection site, releasing programmed immune cells or immunoregulatory agents. Alternatively they can be developed as soft gel-like materials that are injected into solid tumors or sites of resection to stimulate a potent anti-tumor immune response. Biomaterials synthesized from diverse components such as polymers and peptides can be combined with any immunotherapy in the modern toolbox, from checkpoint inhibitors and stimulatory adjuvants, to cancer antigens and adoptive T cells, resulting in unique synergies and improved therapeutic efficacy. The field is growing rapidly in size as publications continue to appear in the literature, and biomaterial-based immunotherapies are entering clinical trials and human patients. It is unarguably an exciting time for cancer immunotherapy and biomaterial researchers, and further work seeks to understand the most critical design considerations in the development of the next-generation of immunotherapeutic biomaterials. This review will discuss recent advances in the delivery of immunotherapies from localized biomaterials, focusing on macroscale implantable and injectable systems.