Current advances of immunotherapy have greatly changed the way of cancer treatment. At the same time, a great number of nanoparticle-based cancer immunotherapies (NBCIs) have also been explored to elicit potent immune responses against tumors. However, few NBCIs are nearly in the clinical trial which is mainly ascribed to a lack understanding of in vivo fate of nanoparticles (NPs) for cancer immunotherapy. NPs for cancer immunotherapy mainly target the immune organs or immune cells to enable efficient antitumor immune responses. The physicochemical properties of NPs including size, shape, elasticity and surface properties directly affect their interaction with immune systems as well as their in vivo fate and therapeutic effect. Hence, systematic analysis of the physicochemical properties and their effect on in vivo fate is urgently needed. In this review, we first recapitulate the fundamentals for the in vivo fate of NBCIs including physio-anatomical features of lymphatic system and strategies to modulate immune responses. Moreover, we highlight the effect of physicochemical properties on their in vivo fate including lymph nodes (LNs) drainage, cellular uptake and intracellular transfer. Challenges and opportunities for rational design of NPs for cancer immunotherapy are also discussed in detail.