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Tumor immunotherapy can activate host antitumor immune responses and specifically eliminate tumor cells, making it a research frontier in tumor therapy. However, its clinical efficacy remains limitations by the immunosuppressive tumor microenvironment (TME) and insufficient tumor immunogenicity. Cascade nanozymes possess the capability to mimic diverse enzymatic activities, catalyze multi-step reactions, regulate the redox equilibrium of the TME, generate reactive oxygen species (ROS) for the eradication of tumor cells, induce immunogenic cell death (ICD), and modulate innate immune signaling pathways. These effects further trigger both innate and adaptive immune responses, thereby suppressing tumor metastasis and recurrence. Nevertheless, achieving selective killing of tumor cells without damaging normal cells via enzymatic reactions and clarifying the underlying mechanisms of cascade nanozyme-based immunotherapy remains a major challenge in cancer treatment. This review summarizes the latest advances of cascade nanozymes in cancer immunotherapy. It critically evaluates the design strategies and mechanisms of cascade nanozymes for immunotherapeutic applications, and highlights the key challenges and future perspectives in this field. It is expected to provide new insights for developing more efficient and targeted tumor immunotherapy strategies.