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Recently, the clinical successes achieved with immunotherapy have revolutionized the treatment of several advanced-stage malignancies, but most patients do not respond and many of them develop immune-related adverse events. Loading synergistic combinations of different anti-tumor drugs in nanocarriers may enhance their efficacy and reduce life-threatening toxicities. Thereafter, nanomedicines may synergize with pharmacological, immunological, and physical combined treatments, and should be increasingly integrated in multimodal combination therapy regimens. The goal of this manuscript is to provide better understanding and key considerations for developing new combined nanomedicines and nanotheranostics. We will clarify the potential of combined nanomedicine strategies that are designed to target different steps of the cancer growth as well as its microenvironment and immunity interactions. 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