Immune checkpoint blockade (ICB) with immune checkpoint inhibitors (ICIs) which includes monoclonal antibodies, peptides, nucleotides, and small molecules has become one of the most promising types of cancer immunotherapy. However, insufficient efficacy and significant side effects of ICB present challenges for the further clinical application of ICB. Encouragingly, systematic and local drug delivery systems for ICIs based on nanotechnology have shown promising prospects of addressing current problems and improving the outcome of ICB. The modern drug delivery systems not only facilitate the combination of multiple therapies but also achieve targeting drug delivery, avert premature cargo degradation, and control the release of payloads. In this chapter, the development of ICB for cancer therapy is briefly introduced. Then, the recent progress of drug delivery systems for ICB is highlighted. In addition, main challenges and opportunities in this rapidly growing field are also discussed.