Immunotherapy is recognised as an attractive method for the treatment of cancer, and numerous treatment strategies have emerged over recent years. Investigations of the tumour microenvironment (TME) have led to the identification of many potential therapeutic targets and methods. However, many recently applied immunotherapies are based on previously identified strategies, such as boosting the immune response by combining commonly used stimulators, and the release of drugs through changes in pH. Although methodological improvements such as structural optimisation and combining strategies can be undertaken, applying those novel targets and methods in immunotherapy remains an important goal. In this review, we summarise the latest research on the TME, and discuss how small molecules, immune cells, and their interactions with tumour cells can be regulated in the TME. Additionally, the techniques currently employed for delivery of these agents to the TME are also mentioned. Strategies to modulate cell phenotypes and interactions between immune cells and tumours are mainly discussed. We consider both modulatory and targeting methods aiming to bridge the gap between the TME and chemical modulation thereof.