Chemodynamic therapy (CDT), as a new type of therapy, has received more and more attention in the field of tumor therapy in recent years. By virtue of the characteristics of weak acid and excess H2O2 in the tumor microenvironment, CDT uses Fenton or Fenton-like reaction to catalyze the transformation of H2O2 into strongly oxidizing •OH, resulting in increased intracellular oxidation stress for lipid oxidation, protein inactivation, or DNA damage, and finally inducing apoptosis of cancer cells. In particular, CDT has the advantage of tumor specificity. However, the therapeutic efficacy of CDT frequently depends on the catalytic efficiency of Fenton reaction, which needs the presence of sufficient H2O2 and catalytic metal ions. Relatively low concentration of H2O2 and lack of catalytic metal ions usually limited the final therapeutic effect. The combination of CDT with immunotherapy will be an effective means to improve the therapeutic effect. In this review paper, the recent progresses related to the nanomedicine for the combination of CDT and immunotherapy are summarized. Immunogenic death of tumor cells, immune checkpoint inhibitors, and stimulator of interferon genes (STING) activation as the main immunotherapy strategies to combine with CDT are discussed. Finally, the challenges and prospectives for the clinical translation and future development direction are discussed.