In the past decade, nanomedicine research has provided us with highly useful agents (nanoparticles) delivering therapeutic drugs to target cancer cells. The present review highlights nanomedicine applications for breast cancer immunotherapy. Recent studies have suggested that tumour necrosis factor (TNF) and its receptor 2 (TNFR2) expressed on breast cancer cells have important functional consequences. This cytokine/receptor interaction is also critical for promoting highly immune-suppressive phenotypes by regulatory T cells (Tregs). This review generally provides a background for nanoparticles as potential drug delivery agents for immunomodulators and further discusses in depth the potential of TNF antagonists delivery to modulate TNF-TNFR2 interactions and inhibit breast cancer progression.