Cancer immunotherapy, which provides durable clinical responses by restoring or boosting the patient's immune system to fight cancer, has become a promising strategy for cancer treatment. However, modest response rates and on-target off-tumor toxicity largely limit extensive implementation of this approach in clinical settings. Advances in drug delivery and combination with other cancer treatments are able to effectively promote the potency of cancer immunotherapy. Engineered natural particulates, such as cells and their derivatives, have been recently developed as prospective drug delivery systems that comprehensively combine genetic engineering, synthetic materials, and nanotechnology to enhance anticancer efficacy. Here, recent advances in improving cancer immunotherapy have been summarized with a focus on using functionalized intact cells and cell derivatives including cell membranes and extracellular vesicles as drug vehicles. The advantages and challenges of these unique systems have been further elucidated in terms of clinical translation. The results presented in this review would contribute to the development of advanced therapies for treating cancers.