Nowadays, immunotherapy is one of the most essential treatments for various diseases and a broad spectrum of disorders are assumed to be treated by altering the function of the immune system. For this reason, immunotherapy has attracted a great deal of attention and numerous studies on different approaches for immunotherapies have been investigated, using multiple biomaterials and carriers, from nanoparticles (NPs) to microneedles (MNs). In this review, the immunotherapy strategies, biomaterials, devices, and diseases supposed to be treated by immunotherapeutic strategies are reviewed. Several transdermal therapeutic methods, including semisolids, skin patches, chemical, and physical skin penetration enhancers, are discussed. MNs are the most frequent devices implemented in transdermal immunotherapy of cancers (e.g., melanoma, squamous cell carcinoma, cervical, and breast cancer), infectious (e.g., COVID-19), allergic and autoimmune disorders (e.g., Duchenne’s muscular dystrophy and Pollinosis). The biomaterials used in transdermal immunotherapy vary in shape, size, and sensitivity to external stimuli (e.g., magnetic field, photo, redox, pH, thermal, and even multi-stimuli-responsive) were reported. Correspondingly, vesicle-based NPs, including niosomes, transferosomes, ethosomes, microemulsions, transfersomes, and exosomes, are also discussed. In addition, transdermal immunotherapy using vaccines has been reviewed for Ebola, Neisseria gonorrhoeae , Hepatitis B virus, Influenza virus, respiratory syncytial virus, Hand-foot-and-mouth disease, and Tetanus.