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Nano-based cancer theranostics are often not as effective as expected due to the low accumulation of nanoparticles in tumors, and cell-aided strategies may represent a rescue to improve the efficacy of nanomedicines. Among the strategies, macrophages appear to be an outstanding candidate due to their wide-spread tissue presence and natural ability to take up nanoparticles carrying cargoes, and also the remarkable capability to modulate tumor microenvironment for enhanced therapeutic efficacy and anti-tumor immunotherapy. However, there are limitations, inconsistencies, and knowledge gaps in the current stage in developing macrophage-mediated nanotherapeutics to realize its fullest potential. Thus, it demands more efforts on understanding the interplays between macrophage and nanomedicine as well as nanomedicines and tumor cells in modulating anti-cancer immunity in the tumor microenvironment. Here, we recapitulate the current progress and knowledge gaps in the macrophage-mediated nano-drug delivery system, and we also shed light on future research directions towards clinical translation.