It has recently been recognized that the physical characteristics of biomaterials - such as size, structure, shape, charge, mechanical strength, hydrophobicity, and multivalency - regulate immunological functions in innate immune cells. In immuno-oncology applications, biomaterials are engineered with distinct physical properties to achieve desired innate immune responses. In this review, we discuss how physical characteristics influence effector functions and innate immune signaling pathways in distinct innate immune cell subtypes. We highlight how physical properties of biomaterials impact phagocytosis regulation, biodistribution, and innate immune cell targeting. We outline the recent advances in physical engineering of biomaterials that directly or indirectly induce desired innate immune responses for cancer immunotherapy. Lastly, we discuss the challenges in current biomaterial approaches that need to be addressed to improve clinical applicability.