Immunotherapy plays a compelling role in cancer treatment and has already made remarkable progress. However, many patients receiving immune checkpoint inhibitors fail to achieve clinical benefits, and the response rates vary among tumor types. New approaches that promote anti-tumor immunity have recently been developed, such as small molecules, bispecific antibodies, chimeric antigen receptor T cell products, and cancer vaccines. Small molecule drugs include agonists and inhibitors that can reach the intracellular or extracellular targets of immune cells participating in innate or adaptive immune pathways. Bispecific antibodies, which bind two different antigens or one antigen with two different epitopes, are of great interest. Chimeric antigen receptor T cell products and cancer vaccines have also been investigated. This review explores the recent progress and challenges of different forms of immunotherapy agents and provides an insight into future immunotherapeutic strategies.