Cancer is a significant health issue impacting humans. Currently, systemic therapies such as chemotherapy have significantly increased the life expectancy of cancer patients. However, some patients are unable to endure systemic treatment due to its significant adverse effects, leading to an increased focus on local therapies including radiation and ablation therapy. Ablation therapy is a precise, low-toxicity, and minimally invasive localized therapy that is increasingly acknowledged by clinicians and cancer patients. Many cancer patients have benefited from it, with some achieving full recovery. Currently, numerous studies have shown that ablation therapy is effective due to its ability to kill cancer cells efficiently and activate the body's anti-cancer immunity. It can also convert "cold cancers" into "hot cancers" and enhance the effectiveness of immunotherapy when used in combination. In this article, we categorize ablation therapy into thermal ablation, cryoablation, photodynamic therapy (PDT), irreversible electroporation (IRE), etc. Thermal ablation is further divided into Radiofrequency ablation (RFA), microwave ablation (WMA), high-frequency focused ultrasound (HIFU), photothermal therapy (PTT), magnetic heat therapy (MHT), etc. We systematically review the most recent advancements in these ablation therapies that are either currently used in clinic or are anticipated to be used in clinic. Then, we also review the latest development of various ablative therapies combined with immunotherapy, and its future development. CLINICAL RELEVANCE STATEMENT: Ablation therapy, an invasive localized treatment, offers an alternative to systemic therapies for cancer patients who cannot tolerate their adverse effects. Its ability to kill cancer cells efficiently and activate anti-cancer immunity. This article reviews recent advancements in ablation therapies, including thermal, cryoablation, PDT, and IRE, and their potential clinical applications, both standalone and in combination with immunotherapy.