Immunotherapy has been widely explored for applications to both augment and suppress intrinsic host immunity. Clinical achievements have seen a number of immunotherapeutic drugs displace established strategies like chemotherapy in treating immune-associated diseases. However, single drug approaches modulating an individual arm of the immune system are often incompletely effective. Imperfect mechanistic understanding and heterogeneity within disease pathology have seen monotherapies inadequately equipped to mediate complete disease remission. Recent success in applications of combinatorial immunotherapy has suggested that targeting multiple biological pathways simultaneously may be critical in treating complex immune pathologies. Drug delivery approaches through engineered biomaterials offer the potential to augment desired immune responses while mitigating toxic side-effects by localizing immunotherapy. This review discusses recent advances in immunotherapy and highlights newly explored combinatorial drug delivery approaches. Furthermore, prospective future directions for immunomodulatory drug delivery to exploit are provided.