Breast cancer remains a leading global cause of morbidity and mortality. While the field of immunotherapy is a promising avenue of investigation and has revolutionized the standard of care for melanoma and lung cancer, modest response rates and a high incidence of immune-related adverse events often necessitate the administration of a sub-therapeutic dose or treatment cessation. Injectable and implantable drug delivery devices present a novel strategy to achieve sustained delivery of potent concentrations of drug directly to the tumor site and minimize systemic toxicity. This review will address the current limitations with conventional immunotherapy for breast cancer treatment, and the recent developments and future prospects in localized delivery strategies. We describe implantable scaffolds and injectable biomaterials for the localized delivery of immunotherapy, which can improve the safety and efficacy of immunotherapies. We discuss the limitations of these delivery systems, such as the influence of shape and material type on drug release and tumor uptake. The challenges of clinical translation, such as the availability of appropriate preclinical animal models and accurate reporting are also discussed. Considerations of these issues will pave the way for effective new therapies that will improve treatment response, patient survival and quality of life for breast cancer patients.