STING (Stimulator of Interferon Genes) agonists have emerged as promising agents in the field of cancer immunotherapy, owing to their excellent capacity to activate the innate immune response and combat tumor-induced immunosuppression. This review provides a comprehensive exploration of the strategies employed to develop effective formulations for STING agonists, with particular emphasis on versatile nano-delivery systems. The recent advancements in delivery systems based on lipids, natural/synthetic polymers, and proteins for STING agonists are summarized. The preparation methodologies of nanoprecipitation, self-assembly, and hydrogel, along with their advantages and disadvantages, are also discussed. Furthermore, the challenges and opportunities in developing next-generation STING agonist delivery systems are elaborated. This review aims to serve as a reference for researchers in designing novel and effective STING agonist delivery systems for cancer immunotherapy.