Cancer is among the current leading causes of death worldwide, despite the novel advances that have been made toward its treatment, it is still considered a major public health concern. Considering both the serious impact of cancer on public health and the significant side effects and complications of conventional therapeutic options, the current strategies towards targeted cancer therapy must be enhanced to avoid undesired toxicity. Cancer immunotherapy has become preferable among researchers in recent years compared to conventional therapeutic options, such as chemotherapy, surgery, and radiotherapy. The understanding of how to control immune checkpoints, develop therapeutic cancer vaccines, genetically modify immune cells as well as enhance the activation of antitumor immune response led to the development of novel cancer treatments. In this review, we address recent advances in cancer immunotherapy molecular mechanisms. Different immunotherapeutic approaches are critically discussed, focusing on the challenges, potential risks, and prospects involving their use.