Since nanogels (nanometer-sized gels) were developed two decades ago, they were utilized as carriers of innovative drug delivery systems. In particular, immunological drug delivery via self-assembled nanogels (self-nanogels) owing to their nanometer size and molecular chaperon-like ability to encapsulate large biomolecules is one of the most well studied and successful applications of nanogels. In the present review, we focus on self-nanogel applications as immunological drug delivery systems for cancer vaccines, cytokine delivery, nasal vaccines, and nucleic acid delivery, including several clinical trials. Cancer vaccines were the first practical application of self-nanogels as vehicles for drug delivery. After successful pre-clinical studies, phase I clinical trials were conducted, and it was found that vaccines consisting of self-nanogels could be administered repeatedly to humans without serious adverse effects, and self-nanogel vaccines induced antigen-specific cellular and humoral immunity. Cytokine delivery via self-nanogels led to the sustained release of IL-12, suppressed tumor growth, and increased Th1-type immune responses. Cationic self-nanogels were effective in penetrating the nasal mucosa and resulted in successful nasal vaccines in mice and nonhuman primates. Cationic self-nanogels were also used for the intracellular delivery of proteins and nucleic acids, and were successfully used to knockdown tumor growth factor expression using short interfering RNA with the immunological effect. These studies suggest that self-nanogels are currently one of the most unique and attractive immunological drug delivery systems and are edging closer to practical use.