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Checkpoint inhibition (CPI) therapies have been proven to be powerful clinical tools in treating cancers. FDA approvals and ongoing clinical development of checkpoint inhibitors for treatment of various cancers highlight the immense potential of checkpoint inhibitors as anti-cancer therapeutics. The occurrence of immune-related adverse events, however, is a major hindrance to the efficacy and use of checkpoint inhibitors as systemic therapies in a wide range of patients. Hence, methods of sustained and tumor-targeted delivery of checkpoint inhibitors are likely to improve efficacy while also decreasing toxic side effects. In this review, we summarize the findings of the studies that evaluated methods of tumor-targeted delivery of checkpoint inhibitors, review their strengths and weaknesses, and discuss the outlook for therapeutic use of these delivery methods.