Urothelial bladder cancer is one of the first cancers recognized to be immunogenic since 40 years ago when the use of bacillus Calmette–Guerin (BCG) was shown to prevent recurrence. Since that time, our knowledge of immune biology of cancer has expanded tremendously, and bladder cancer patients finally have new active immunotherapeutic drugs with on the horizon. Anti-programmed cell death-1 (PD-1)/(programmed cell death ligand-1 (PD-L1) therapy has shown impressively durable responses in urothelial bladder cancer (UBC), but the reported response rates warrant improvement. To outline potential strategies to overcome tumor immune resistance, herein, we summarize current models of tumor immunology with a specific focus on bladder cancer. Recognition of tumor-specific antigens through cross-presentation, T cell priming and activation, and trafficking of immune cells to the tumor microenvironment are some of the critical steps we now understand to be necessary for an effective anti-tumor immune response. Many of the involved steps are important targets for therapeutic interventions. As new immunotherapies are developed, predictive biomarkers will also be important to select patients most likely to respond and to better understand tumor biology. Several potential biomarkers are reviewed including PD-L1 expression, identification of T cell-inflamed/non-T cell-inflamed tumors based on immune gene expression, intrinsic molecular subtyping based on luminal/basal or the cancer genome atlas (TCGA) groups, T cell receptor (TCR) sequencing, and somatic mutational density. Within even the past few years our current knowledge of immune biology has exploded, and we are highly optimistic about the future of UBC therapy that will be available to patients.