The emerging anti-tumor immunotherapy has made significant progress in clinical application. However, single immunotherapy is not effective for all anti-tumor treatments, owing to the low objective response rate and the risk of immune-related side effects. Meanwhile, photothermal therapy (PTT) has attracted significant attention because of its non-invasiveness, spatiotemporal controllability and small side effects. Combining PTT with immunotherapy overcomes the issue that single photothermal therapy cannot eradicate tumors with metastasis and recurrence. However, it improves the therapeutic effect of immunotherapy, as the photothermal therapy usually promotes release of tumor-related antigens, triggers immune response by the immunogenic cell death (ICD), thereby, endowing unique synergistic mechanisms for cancer therapy. This review summarizes recent research advances in utilizing nanomedicines for PTT in combination with immunotherapy to improve the outcome of cancer treatment. The strategies include immunogenic cell death, immune agonists and cancer vaccines, immune checkpoint blockades and tumor specific monoclonal antibodies, and small-molecule immune inhibitors. The combination of synergized PTT-immunotherapy with other therapeutic strategies is also discussed.