Skin cancer is one of the most common types of cancer, and its incidence continues to increase. It is divided into two main categories, melanoma and non-melanoma. Treatments include surgery, radiation therapy, and chemotherapy. The relatively high mortality in melanoma and the existing recurrence rates, both for melanoma and non-melanoma, create the need for studying and developing new approaches for skin cancer management. Recent studies have focused on immunotherapy, photodynamic therapy, photothermal therapy, and photoimmunotherapy. Photoimmunotherapy has gained much attention due to its excellent potential outcomes. It combines the advantages of photodynamic and/or photothermal therapy with a systemic immune response, making it ideal for metastatic cancer. This review critically discusses different new nanomaterials’ properties and mechanisms of action for skin cancer photoimmunotherapy and the main results obtained in the field.