Cancer immunotherapy has become the new paradigm of cancer treatment. The introduction and discovery of various therapeutic agents have also accelerated the application of immunotherapy in clinical trials. However, despite the significant potency and demonstrated advantages of cancer immunotherapy, its clinical application to patients faces several safety and efficacy issues, including autoimmune reactions, cytokine release syndrome, and vascular leak syndrome-related issues. In addressing these problems, biomaterials traditionally used for tissue engineering and drug delivery are attracting attention. Among them, hydrogels can be easily injected into tumors with drugs, and they can minimize side effects by retaining immune therapeutics at the tumor site for a long time. This article reviews the status of functional hydrogels for effective cancer immunotherapy. First, we describe the basic mechanisms of cancer immunotherapy and the advantages of using hydrogels to apply these mechanisms. Next, we summarize recent advances in the development of functional hydrogels designed to locally release various immunotherapeutic agents, including cytokines, cancer immune vaccines, immune checkpoint inhibitors, and chimeric antigen receptor-T cells. Finally, we briefly discuss the current problems and possible prospects of hydrogels for effective cancer immunotherapy.