In recent decades, chemotherapies targeting apoptosis have emerged and demonstrated remarkable achievements. However, emerging evidence has shown that chemoresistance is mediated by impairing or bypassing apoptotic cell death. Several novel types of programmed cell death, such as ferroptosis, necroptosis, and pyroptosis, have recently been reported to play significant roles in the modulation of cancer progression and are considered a promising strategy for cancer treatment. Thus, the switch between apoptosis and pyroptosis is also discussed. Cancer immunotherapy has gained increasing attention due to breakthroughs in immune checkpoint inhibitors; moreover, ferroptosis, necroptosis, and pyroptosis are highly correlated with the modulation of immunity in the tumor microenvironment. Compared with necroptosis and ferroptosis, pyroptosis is the primary mechanism for host defense and is crucial for bridging innate and adaptive immunity. Furthermore, recent evidence has demonstrated that pyroptosis exerts benefits on cancer immunotherapies, including immune checkpoint inhibitors (ICIs) and chimeric antigen receptor T-cell therapy (CAR-T). Hence, in this review, we elucidate the role of pyroptosis in cancer progression and the modulation of immunity. We also summarize the potential small molecules and nanomaterials that target pyroptotic cell death mechanisms and their therapeutic effects on cancer.