Immunotherapy that boosts the body’s immune system to treat local and distant metastatic tumors has offered a new treatment option for cancer. However, cancer immunotherapy via systemic administration of immunotherapeutic agents often has two major issues of limited immune responses and potential immune-related adverse events in the clinic. Hydrogels, a class of three-dimensional network biomaterials with unique porous structures can achieve local delivery of drugs into tumors to trigger the antitumor immunity, resulting in amplified immunotherapy at lower dosages. In this review, we summarize the recent development of polymer-based hydrogels as drug release systems for local delivery of various immunotherapeutic agents for cancer immunotherapy. The constructions of polymer-based hydrogels and their local delivery of various drugs in tumors to achieve sole immunotherapy, and chemotherapy-, and phototherapy-combinational immunotherapy are introduced. Furthermore, a brief conclusion is given and existing challenges and further perspectives of polymer-based hydrogels for cancer immunotherapy are discussed.