Immunotherapy has provided a new avenue to treat metastatic cancers, which result in ∼90% of cancer related deaths. However, current immunotherapies, such as immune checkpoint therapy (ICT), have met with limited success, primarily due to tumor intrinsic and extrinsic factors that inhibit antitumor immune responses. To overcome the immune suppression of the tumor microenvironment (TME) and enhance the tumoricidal activity of ICT, phototherapy, particularly photothermal therapy (PTT), combined with nanomedicine has become a viable option. PTT disrupts target tumor homeostasis, releasing tumor associated antigens (TAAs), tumor specific antigens (TSAs), danger associated molecular patterns (DAMPs), and scarce nutrients required to “feed” activated antitumor immune cells. While nanoparticles localize and specify the phototherapeutic effect, they can also be loaded with immune stimulants, TME modulators, and/or chemotherapeutic agents to greatly enhance immune stimulation and tumor killing. Combining these three technologies, which we term nano-ablative immunotherapy (NAIT), with ICT can greatly enhance their therapeutic effects. In this review, we will discuss the successes and limitations of NAIT + ICT. Specifically, we will discuss how the TME limits tumoricidal activity and what should be considered to overcome these limitations.