Photodynamic therapy (PDT) has been applied in cancer treatment because of its high selectivity, low toxicity, and non-invasiveness. However, the limited penetration depth of the light still hampers from reaching deep-seated tumors. Considering the penetrating ability of high-energy radiotherapy, X-ray-induced photodynamic therapy (X-PDT) has evolved as an alternative to overcome tissue blocks. As the basic principle of X-PDT, X-rays stimulate the nanoparticles to emit scintillating or persistent luminescence and further activate the photosensitizers to generate reactive oxygen species (ROS), which would cause a series of molecular and cellular damages, immune response, and eventually break down the tumor tissue. In recent years, catalytic nanosystems with unique structures and functions have emerged that can enhance X-PDT therapeutic effects via an immune response. The anti-cancer effect of X-PDT is closely related to the following factors: energy conversion efficiency of the material, the radiation dose of X-rays, quantum yield of the material, tumor resistance, and biocompatibility. Based on the latest research in this field and the classical theories of nanoscience, this paper systematically elucidates the current development of the X-PDT and related immunotherapy, and highlights its broad prospects in medical applications, discussing the connection between fundamental science and clinical translation.