In preceding decades, different mechanisms have been proposed to "instruct" dendritic cells (DCs) to induce immune responses against tumor antigens (TAs), thus breaking immune tolerance. Immunotherapy has been, for the last two decades, an attractive and promising therapeutic approach to fight cancer. This review will approach the nature of the immune response during cancer development and its correlation with DC function, as well as cancer vaccine principles and limitations. An overview of several delivery strategies used for in vivo modulation of DCs and direct activation of T cells will be provided, highlighting their advantages, limitations, and optimization strategies. This manuscript also presents a critical and systematic review of recent clinical trials that are investigating the therapeutic effect of these approaches, discussing prognostic outcomes of combined-treatment modalities.