Over the past decade, immunotherapy has emerged as a major modality in cancer medicine. However, despite its unprecedented success, immunotherapy currently benefits only a subgroup of patients, may induce responses of limited duration and is associated with potentially treatment-limiting side effects. In addition, responses to immunotherapeutics are sometimes diminished by the emergence of a complex array of resistance mechanisms. The efficacy of immunotherapy depends on dynamic interactions between tumour cells and the immune landscape in the tumour microenvironment. Ultrasound, especially in conjunction with cavitation-promoting agents such as microbubbles, can assist in the uptake and/or local release of immunotherapeutic agents at specific target sites, thereby increasing treatment efficacy and reducing systemic toxicity. There is also increasing evidence that ultrasound and/or cavitation may themselves directly stimulate a beneficial immune response. In this review, we summarize the latest developments in the use of ultrasound and cavitation agents to promote checkpoint inhibitor immunotherapy.